Dual Stochastic Dominance and Related Mean-Risk Models
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Cited in
(only showing first 100 items - show all)- Comparing tail variabilities of risks by means of the excess wealth order
- Enhanced index tracking with CVaR-based ratio measures
- Enhanced indexation based on second-order stochastic dominance
- On a family of coherent measures of variability
- Two-stage optimization problems with multivariate stochastic order constraints
- On deviation measures in stochastic integer programming
- Optimization with stochastic preferences based on a general class of scalarization functions
- Planning online advertising using Gini indices
- Measuring risk for income streams
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Edgeworth expansion for the kernel quantile estimator
- Characterization of stochastic orders by \(L\)-functionals
- Robust portfolio selection under downside risk measures
- On relations between DEA-risk models and stochastic dominance efficiency tests
- CVaR (superquantile) norm: stochastic case
- Minimizing value-at-risk in single-machine scheduling
- Computational study of decomposition algorithms for mean-risk stochastic linear programs
- Data envelopment analysis models of investment funds
- Stable solutions for optimal reinsurance problems involving risk measures
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Processing second-order stochastic dominance models using cutting-plane representations
- On the global minimization of the value-at-risk
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- The Risk-Averse Static Stochastic Knapsack Problem
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- A mean-risk mixed integer nonlinear program for transportation network protection
- Higher moment coherent risk measures
- Mean-risk models using two risk measures: a multi-objective approach
- Hedging the exchange rate risk for international portfolios
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- ALM models based on second order stochastic dominance
- Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
- Mini-Batch Risk Forms
- Approximating exact expected utility via portfolio efficient frontiers
- 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
- Minimizing measures of risk by saddle point conditions
- 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
- The p-folded cumulative distribution function and the mean absolute deviation from the p-quantile
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Optimizing conditional value-at-risk in dynamic pricing
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- On solving the dual for portfolio selection by optimizing conditional value at risk
- A survey on risk-averse and robust revenue management
- On Deviation Measures in Stochastic Integer Programming
- Two-stage non-cooperative games with risk-averse players
- A unified approach to uncertain optimization
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Supervised ranking in the WEKA environment
- On the role of norm constraints in portfolio selection
- On efficient WOWA optimization for decision support under risk
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Statistical estimation of composite risk functionals and risk optimization problems
- Stress testing for VaR and CVaR
- Mean-risk analysis with enhanced behavioral content
- Minimizing conditional-value-at-risk for stochastic scheduling problems
- Zeroth-order stochastic compositional algorithms for risk-aware learning
- Approximation algorithms for a class of stochastic selection problems with reward and cost considerations
- Stochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation Approach
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Minimizing loss probability bounds for portfolio selection
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
- Interaction between financial risk measures and machine learning methods
- Optimal reinsurance with general risk measures
- Staffing a call center with uncertain non-stationary arrival rate and flexibility
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- On Decision Support Under Risk by the WOWA Optimization
- Risk-averse two-stage stochastic programming with an application to disaster management
- Subdifferential representations of risk measures
- Capital rationing problems under uncertainty and risk
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Additive consistency of risk measures and its application to risk-averse routing in networks
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
- Risk optimization with p-order conic constraints: a linear programming approach
- Good deals and benchmarks in robust portfolio selection
- An omega portfolio model with dynamic return thresholds
- Risk-averse dynamic programming for Markov decision processes
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Integrated chance constraints: reduced forms and an algorithm
- Solving nonlinear portfolio optimization problems with the primal-dual interior point method
- Connection between higher order measures of risk and stochastic dominance
- Generalized equitable preference in multiobjective programming
- Varying confidence levels for CVaR risk measures and minimax limits
- Symbolic computation with monotone operators
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
- Inequality measures and equitable locations
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- Asymptotics of minimax stochastic programs
- Portfolio optimization under loss aversion
- Law-invariant functionals that collapse to the mean: beyond convexity
- Entropy based risk measures
- Shape-restricted inference for Lorenz curves using duality theory
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- A second-order stochastic dominance portfolio efficiency measure
- Short communication: minimal quantile functions subject to stochastic dominance constraints
- Can commodities dominate stock and bond portfolios?
- Random variables, monotone relations, and convex analysis
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