STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS

DOI10.1142/S0219024912500367zbMath1262.91095MaRDI QIDQ3166713

Andrey Lizyayev

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

convexity; efficiency; risk aversion; stochastic dominance

Mathematics Subject Classification ID

91B06: Decision theory

Related Items

A new rank dependent utility approach to model risk averse preferences in portfolio optimization, Bivariate almost stochastic dominance, Higher-degree stochastic dominance optimality and efficiency, Second order of stochastic dominance efficiency vs mean variance efficiency

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