A Cutting Plane Method for Optimization with First Order Stochastic Dominance Constraints

Optimization problems with stochastic dominance constraints have been introduced in recent years. In this article we consider the optimization problem with first order stochastic dominance constraints in the case of discrete joint distributions. This problem can be formulated as a mixed integer program. Here we verily this problem and develop a cutting plane method to solve it more efficiently. Finally computational results are presented for several real-world instances of the portfolio optimization problem with a stochastic dominance constraint