Stochastic orders and their applications in financial optimization
From MaRDI portal
Publication:1809503
DOI10.1007/S001860050102zbMATH Open0958.91020OpenAlexW2047401236MaRDI QIDQ1809503FDOQ1809503
Authors: Masaaki Kijima, Masamitsu Ohnishi
Publication date: 8 April 2001
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050102
Recommendations
Markov chainportfolio selectionequilibrium pricegeneralized harmonic meanbivariate characterizationdemand problemshift effect problem
Cited In (25)
- A class of Hurwitz-Lerch zeta distributions and their applications in reliability
- Properties of a job search problem on a partially observable Markov chain in a dynamic economy
- An economic premium principle in a multiperiod economy.
- Unreliable M/G/1 retrial queue: Monotonicity and comparability
- A stochastic order for the analysis of investments affected by the time value of money
- Ordering scalar products with applications in financial engineering and actuarial science
- Joint stochastic orders of high degrees and their applications in portfolio selections
- Toward the evaluation of \(P(X_{(t)} > Y_{(t)})\) when both \(X_{(t)}\) and \(Y_{(t)}\) are inactivity times of two systems
- Extension of the past lifetime and its connection to the cumulative entropy
- Testing relative risk under random censoring.
- Stochastic orderings with respect to a capacity and an application to a financial optimization problem
- A note on the monotone stochastic order for processes with independent increments
- Properties of reliability functions of discrete distributions
- Proportional reversed hazard rate model and its applications
- Order-Constrained ROC Regression With Application to Facial Recognition
- A mixture model of proportional reversed hazard rate
- Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
- Nonparametric smooth estimation of the expected inactivity time function
- A novel method of generating distributions on the unit interval with applications
- On the nonparametric smooth estimation of the reversed hazard rate function
- The comparative statics on asset prices based on bull and bear market measure
- Monotonicity of the (reversed) hazard rate of the (maximum) minimum in bivariate distribu\-tions
- Stochastic orders to approach investments in condor financial derivatives
- Some aspects of reversed hazard rate and past entropy
- On some properties of the mean inactivity time function
This page was built for publication: Stochastic orders and their applications in financial optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1809503)