Orderings and Probability Functionals Consistent with Preferences

DOI10.1080/13504860802327180zbMath1169.91375MaRDI QIDQ3395730

Sergio Ortobelli, Haim Shalit, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802327180

zbMATH Keywords

stochastic dominance; utility theory; integral orderings; coherent and convex measures; efficient choices; probability functionals

Mathematics Subject Classification ID

Related Items

Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria, On the impact of conditional expectation estimators in portfolio theory, Second order of stochastic dominance efficiency vs mean variance efficiency, Asymptotic multivariate dominance: a financial application, PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS, METRIZATION OF STOCHASTIC DOMINANCE RULES

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