An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets

DOI10.1287/mnsc.25.7.609zbMath0423.90002OpenAlexW2059597350MaRDI QIDQ3857959

Eric B. Lindenberg, Vijay S. Bawa, Lawrence C. Rafsky

Publication date: 1979

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.25.7.609

zbMATH Keywords

portfolio choiceefficient algorithmcomputational techniquesstock selectionfinancial decision makingcapital budgetingtheory of choice under uncertaintystochastic dominance admissible sets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Decision theory (91B06) Numerical mathematical programming methods (65K05) Portfolio theory (91G10)

Related Items (5)

Approximating the admissible set in stochastic dominance ⋮ Crossing points of distributions and a theorem that relates them to second order stochastic dominance ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Multiattribute utility functions, partial information on coefficients, and efficient choice

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