Dual Stochastic Dominance and Related Mean-Risk Models
From MaRDI portal
Recommendations
- Dual Stochastic Dominance and Quantile Risk Measures
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- Stochastic Dominance and Applications to Finance, Risk and Economics
- Stochastic dominance with pair-wise risk aversion
- Stochastic dominance with respect to a capacity and risk measures
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Dominanza stocastica con avversione al rischio
- Multivariate stochastic dominance for risk averters and risk seekers
- Risk apportionment via bivariate stochastic dominance
Cited in
(only showing first 100 items - show all)- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Optimal reinsurance with general risk measures
- Risk preference modeling with conditional average: An application to portfolio optimization
- On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty
- Inequality measures and equitable locations
- Risk optimization with p-order conic constraints: a linear programming approach
- Models and simulations for portfolio rebalancing
- Extending pricing rules with general risk functions
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- ALM models based on second order stochastic dominance
- Optimizing conditional value-at-risk in dynamic pricing
- Photovoltaic power plant design considering multiple uncertainties and risk
- Symbolic computation with monotone operators
- Two-stage non-cooperative games with risk-averse players
- Risk tomography
- A mean-risk mixed integer nonlinear program for transportation network protection
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- Approximating exact expected utility via portfolio efficient frontiers
- A survey on risk-averse and robust revenue management
- Integrated quantile functions: properties and applications
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- A unified approach to uncertain optimization
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Risk-averse two-stage stochastic programming with an application to disaster management
- Novel approaches for portfolio construction using second order stochastic dominance
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Robustness in stochastic programs with risk constraints
- Improved confidence intervals for quantiles
- Reference point method with importance weighted ordered partial achievements
- Hedging the exchange rate risk for international portfolios
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- A \(2\times 2\) random switching model and its dual risk model
- Process-based risk measures and risk-averse control of discrete-time systems
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Two-stage mean-risk stochastic optimization model for port cold storage capacity under pelagic fishery yield uncertainty
- Law-invariant functionals that collapse to the mean: beyond convexity
- Entropy based risk measures
- Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk
- On a family of coherent measures of variability
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Optimal reinsurance under risk and uncertainty
- Shape-restricted inference for Lorenz curves using duality theory
- A probabilistic framework for the design of instance-based supervised ranking algorithms in an ordinal setting
- Enhanced indexing using weighted conditional value at risk
- Can commodities dominate stock and bond portfolios?
- Varying confidence levels for CVaR risk measures and minimax limits
- Fair optimization and networks: a survey
- Equilibrium routing under uncertainty
- Interaction between financial risk measures and machine learning methods
- Ordered weighted enhancement of preference modeling in the reference point method for multiple criteria optimization
- Statistical estimation of composite risk functionals and risk optimization problems
- Kusuoka representation of higher order dual risk measures
- Asymptotics of minimax stochastic programs
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Conditional value at risk and related linear programming models for portfolio optimization
- On deviation measures in stochastic integer programming
- Convexity and decomposition of mean-risk stochastic programs
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Subdifferential representations of risk measures
- Portfolio construction based on stochastic dominance and target return distributions
- Second-price common-value auctions under multidimensional uncertainty
- Stochastic orders and risk measures: consistency and bounds
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Worst-case robust Omega ratio
- Twenty years of linear programming based portfolio optimization
- Enhanced indexation based on second-order stochastic dominance
- Strategic long-term financial risks: single risk factors
- On extending the LP computable risk measures to account downside risk
- Measuring risk for income streams
- Conditional value-at-risk in stochastic programs with mixed-integer recourse
- Edgeworth expansion for the kernel quantile estimator
- Two-stage mean-risk stochastic mixed integer optimization model for location-allocation problems under uncertain environment
- A concept of copula robustness and its applications in quantitative risk management
- Two-stage optimization problems with multivariate stochastic order constraints
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Additive consistency of risk measures and its application to risk-averse routing in networks
- A new rank dependent utility approach to model risk averse preferences in portfolio optimization
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Computational methods for risk-averse undiscounted transient Markov models
- Optimization with multivariate stochastic dominance constraints
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- Mean-risk analysis with enhanced behavioral content
- Risk aversion in two-stage stochastic integer programming
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Test statistics for prospect and Markowitz stochastic dominances with applications
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Third degree stochastic dominance and mean-risk analysis
- CVaR (superquantile) norm: stochastic case
- Good deals and benchmarks in robust portfolio selection
- Portfolio optimization under loss aversion
- Stochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation Approach
- Time to wealth goals in capital accumulation
- On a subjective approach to risk measurement
- On Deviation Measures in Stochastic Integer Programming
- A branch-and-bound method for multistage stochastic integer programs with risk objectives
- On Decision Support Under Risk by the WOWA Optimization
This page was built for publication: Dual Stochastic Dominance and Related Mean-Risk Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4785869)
