Dual Stochastic Dominance and Related Mean-Risk Models
نویسندگان
چکیده
منابع مشابه
Dual Stochastic Dominance and Related Mean-Risk Models
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 stoch...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2002
ISSN: 1052-6234,1095-7189
DOI: 10.1137/s1052623400375075