Dual Stochastic Dominance and Related Mean-Risk Models
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Publication:4785869
DOI10.1137/S1052623400375075zbMath1022.91017OpenAlexW2052160057WikidataQ93647696 ScholiaQ93647696MaRDI QIDQ4785869
Włodzimierz Ogryczak, Ruszczyński, Andrzej
Publication date: 5 January 2003
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1052623400375075
stochastic programmingstochastic dominanceFenchel dualitydecisions under uncertaintyquantile risk measuresmean-risk analysis
Decision theory (91B06) Stochastic programming (90C15) Convex functions and convex programs in convex geometry (52A41)
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