Stochastic Dominance Tests for Decreasing Absolute Risk-Aversion II: General Random Variables

DOI10.1287/MNSC.23.5.478MaRDI QIDQ4177257zbMATH OpenOpenAlexWikidataFDO

Authors Raymond G. Vickson

Publication date 1977

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.23.5.478

zbMATH Keywords

Decreasing Absolute Risk-Averse Utility FunctionsDynamic Programming AlgorithmStochastic Dominance Tests

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of statistics to economics (62P20) Nonlinear programming (90C30) Dynamic programming (90C39) Applications of mathematical programming (90C90) Utility theory (91B16)

Cited in

(5)

• Continua of stochastic dominance relations for bounded probability distributions
• Minimum distribution-sensitivity, poverty aversion, and poverty orderings
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• The family of alpha,[a,b] stochastic orders: risk vs. expected value
• Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty

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