Standard Stochastic Dominance

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...

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

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...

Random Tie-breaking with Stochastic Dominance

Consider Plurality with random tie-breaking. This paper uses standard axiomatic extensions of preferences over elements to preferences over sets (Kelly, Gardenfors, Responsiveness) to characterize all better-replies of a voter under stochastic dominance.

A New Stochastic Dominance Degree Based on Almost Stochastic Dominance and Its Application in Decision Making

Traditional stochastic dominance rules are so strict and qualitative conditions that generally a stochastic dominance relation between two alternatives does not exist. To solve the problem, we firstly supplement the definitions of almost stochastic dominance (ASD). Then, we propose a new definition of stochastic dominance degree (SDD) that is based on the idea of ASD. The new definition takes b...

A Truthfulness and Stochastic Dominance with Monetary Transfers

We consider truthfulness concepts for auctions with payments based on firstand second-order stochastic dominance. We assume bidders consider wealth in standard quasi-linear form as valuation minus payments. Additionally, they are sensitive to risk in the distribution of wealth stemming from randomized mechanisms. Firstand second-order stochastic dominance are well-known to capture risk-sensitiv...