Dual Stochastic Dominance and Related Mean-Risk Models

Dual stochastic dominance and quantile risk measures

Following the seminal work by Markowitz, the portfolio selection problem is usually modeled as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model, the risk is measured with variance. Several other risk measures have been later considered thus creating the entire family of mean-risk (Markowitz type) ...

User’s guide to ddsip.vSD – A C Package for the Dual Decomposition of Stochastic Programs with Dominance Constraints Induced by Mixed-Integer Linear Recourse

ddsip.vSD is a C-implementation of a number of scenario decomposition algorithms for stochastic linear programs with firstor second-order stochastic dominance constraints induced by mixed-integer linear recourse. The program is based on a previous implementation of scenario decomposition algorithms for mean-risk models of A. Märkert [20]. Main idea of the decomposition algorithms is the Lagrang...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Data envelopment analysis of mutual funds based on second-order stochastic dominance

Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed MF. This neglects the important effects...

On consistency of stochastic dominance and mean-semideviation models

We analyze relations between two methods frequently used for modeling the choice among uncertain outcomes: stochastic dominance and mean–risk approaches. New necessary conditions for stochastic dominance are developed. These conditions compare values of a certain functional, which contains two components: the expected value of a random outcome and a risk term represented by the central semidevi...