Stochastically weighted stochastic dominance concepts with an application in capital budgeting

DOI10.1016/J.EJOR.2013.08.007MaRDI QIDQ2255976zbMATH OpenOpenAlexFDO

Authors Jian Hu, Sanjay Mehrotra, 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

chance constraintinteger programmingrisk managementstochastic dominancestochastic programming

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(8)

• Higher-degree stochastic dominance optimality and efficiency
• The linear stochastic order and directed inference for multivariate ordered distributions
• An inter-temporal CAPM based on first order stochastic dominance
• Frameworks and results in distributionally robust optimization
• Standard stochastic dominance
• On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
• Optimization with reference-based robust preference constraints
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment

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Uses Software

• DerivaGem

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