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SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization

Shuang Chen, Li-Ping Pang, Xuefei Ma, Dan Li. SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization. Math. Meth. of OR, 84(1):129-154, 2016. [doi]

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