Tractable almost stochastic dominance (Q439526)

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English	Tractable almost stochastic dominance	scientific article

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scholarly article

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Tractable almost stochastic dominance (English)

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Andrey Lizyayev

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Ruszczyński, Andrzej

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European Journal of Operational Research

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publication date

16 August 2012

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zbMATH Keywords

stochastic dominance

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portfolio optimization

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risk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2011.11.019

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Optimization with Stochastic Dominance Constraints

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Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

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Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

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Inverse stochastic dominance constraints and rank dependent expected utility theory

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Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints

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The Efficiency Analysis of Choices Involving Risk

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Ordered Families of Distributions

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Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance

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Almost stochastic dominance and stocks for the long run

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Economically relevant preferences for all observed epsilon

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New Formulations for Optimization under Stochastic Dominance Constraints

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On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other

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LP solvable models for portfolio optimization: a classification and computational comparison

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Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

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Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints

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Risk Aversion in the Small and in the Large

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Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods

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Frontiers of Stochastically Nondominated Portfolios

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Identifiers

zbMATH Open document ID

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10.1016/j.ejor.2011.11.019

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:439526

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