We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is derived. For discrete probability measures, large-scale, block-structured, mixed-integer linear programming equivalents to the dominance constrained stochastic programs are id...

Stochastic Dominance (SD) rules are used to divide the sets of all feasible uncertain prospects into efficient and inefficient sets (partial ordering). The SD rules (as well as the mean-variance rule) assume that investors agree on the available distributions of returns. Laboratory experiments with and without real money repeatedly reveal that even if all subjects observe the same pair of cumul...

This paper is an investigation of the third-degree stochastic dominance order which has been introduced in the context of risk analysis and is now receiving an increased attention in the area of inequality measurement. After observing that this partial order fails to satisfy the von Neumann-Morgenstern property in the space of random variables, we introduce strong and local third-degree stochas...

An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves multiperiod decisions (portfolio rebalancing) and deals with the usual uncertainty of investment returns and future liabilities. Therefore it is well-suited to a stochastic programming approach. A stochastic dominance concept is applied to measure (...

We propose a new approach to asymmetric …rst price auctions which circumvents having to directly examine bidding strategies. Speci…cally, the ratio of bidders’payo¤s is compared to the ratio of the distribution functions that describe beliefs. This comparison allows a number of easy inferences. In the existing theoretical literature, assumptions of …rst order stochastic dominance or stronger im...

In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post [14] and Kuosmanen [7], our test detects a ...