Multi-Period Stochastic Dominance

DOI10.1287/MNSC.21.4.428MaRDI QIDQ4062883zbMATH OpenOpenAlexFDO

Authors Haim Levy, Jacob Paroush

Publication date 1974

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.4.428

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Cited in

(8)

• Stochastic dominance with pair-wise risk aversion
• Multivariate stochastic dominance with fixed dependence structure
• Distributional efficiency in multiobjective stochastic linear programming
• On the theory of risk aversion and the theory of risk
• Multistage portfolio optimization with multivariate dominance constraints
• Solution approaches for the multiobjective stochastic programming
• Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
• Multivariate decisions with unknown price vector

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