An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets

DOI10.1287/MNSC.25.7.609MaRDI QIDQ3857959zbMATH OpenOpenAlexFDO

Authors Vijay S. Bawa, Eric B. Lindenberg, 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 choicestock selectionefficient algorithmcomputational techniquesfinancial decision makingcapital budgetingtheory of choice under uncertaintystochastic dominance admissible sets

Mathematics Subject Classification ID

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

Cited in

(6)

• Higher-degree stochastic dominance optimality and efficiency
• Crossing points of distributions and a theorem that relates them to second order stochastic dominance
• Approximating the admissible set in stochastic dominance
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects
• Multiattribute utility functions, partial information on coefficients, and efficient choice

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