Standard stochastic dominance

DOI10.1016/J.EJOR.2015.08.038zbMATH Open1346.91218OpenAlexW3122176530MaRDI QIDQ320827FDOQ320827

Authors: Thierry Post 

Publication date: 7 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.038

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zbMATH Keywords

linear programmingdecision theorystochastic dominanceportfolio theorystandard risk aversion

Mathematics Subject Classification ID

Linear programming (90C05) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites Work

• Stochastic Dominance
• Choice among distributions
• Portfolio construction based on stochastic dominance and target return distributions
• Enhanced indexation based on second-order stochastic dominance
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Decision making under uncertainty with unknown utility function and rank-ordered probabilities
• The Construction of Utility Functions from Expenditure Data
• General linear formulations of stochastic dominance criteria
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• Mixed risk aversion
• Standard Risk Aversion
• Stochastically weighted stochastic dominance concepts with an application in capital budgeting
• Testing for stochastic dominance efficiency
• Second Degree Stochastic Dominance with Respect to a Function
• Marginal Conditional Stochastic Dominance
• Decreasing Absolute Risk Aversion and Option Pricing Bounds
• A Test of the Efficiency of a Given Portfolio

Cited In (9)

• Higher-degree stochastic dominance optimality and efficiency
• The family of alpha,[a,b] stochastic orders: risk vs. expected value
• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Almost stochastic dominance and stocks for the long run
• DEA models equivalent to general $N$th order stochastic dominance efficiency tests
• General linear formulations of stochastic dominance criteria
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
• Advancements in stochastic dominance efficiency tests

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