Stochastically weighted stochastic dominance concepts with an application in capital budgeting

DOI10.1016/j.ejor.2013.08.007zbMath1305.90316OpenAlexW1980982218MaRDI QIDQ2255976

Sanjay Mehrotra, Jian Hu, Tito Homem-de-mello

Publication date: 18 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.007

zbMATH Keywords

stochastic programminginteger programmingstochastic dominancerisk managementchance constraint

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Integer programming (90C10) Stochastic programming (90C15)

Related Items (6)

Standard stochastic dominance ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Frameworks and results in distributionally robust optimization ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ The linear stochastic order and directed inference for multivariate ordered distributions ⋮ Higher-degree stochastic dominance optimality and efficiency

Uses Software

• DerivaGem

Cites Work

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