Spaces for agreement: a theory of Time-Stochastic Dominance

Spaces for agreement: a theory of Time-Stochastic Dominance and an application to climate change

Many investments involve both a long time-horizon and risky returns. Making investment decisions thus requires assumptions about time and risk preferences. Such assumptions are frequently contested, particularly in the public sector, and there is no immediate prospect of universal agreement. Motivated by these observations, we develop a theory and method of finding ‘spaces for agreement’. These...

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...

Double-null operators and the investigation of Birkhoff's theorem on discrete lp spaces

Doubly stochastic matrices play a fundamental role in the theory of majorization. Birkhoff's theorem explains the relation between $ntimes n$ doubly stochastic matrices and permutations. In this paper, we first introduce double-null  operators and we will find some important properties of them. Then with the help of double-null operators, we investigate Birkhoff's theorem for descreate $l^p$ sp...

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

محاسبه ریسک با معیار تسلط تصادفی و مقایسه آن با سایر معیارهای متداول در بورس اوراق بهادار تهران

Nowadays stock market as a means to facilitate and direct micro investment for economic development is deemed as one of the most effective tools in the market economy system. Analyzing the risk and output of various companies' shares is among the most important preconditions of stock investment. In general, although conventional risk measures such as Beta and standard deviation are relatively e...