Journal
SIAM JOURNAL ON OPTIMIZATION
Volume 13, Issue 1, Pages 60-78Publisher
SIAM PUBLICATIONS
DOI: 10.1137/S1052623400375075
Keywords
decisions under uncertainty; stochastic dominance; Fenchel duality; mean-risk analysis; quantile risk measures; stochastic programming
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We consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of stochastic dominance for general distributions. This allows us to show that several models using quantiles and tail characteristics of the distribution are in harmony with the stochastic dominance relation. We also provide stochastic linear programming formulations of these models.
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