Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric
Optimization problems with stochastic dominance constraints are helpful to many real-life applications. We can recall e. g., problems of portfolio selection or problems connected with energy production. The above mentioned constraints are very suitable because they guarantee a solution fulfilling partial order between utility functions in a given subsystem of the utility functions. Especially, considering (where is a system of non decreasing concave nonnegative utility functions) we obtain...