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

convexityefficiencyrisk aversionstochastic dominance

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (4)

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

Cites Work

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• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Portfolio Efficient Sets
• Optimization with Stochastic Dominance Constraints
• Risk Aversion in the Small and in the Large
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