Dual stochastic dominance and related mean-risk models

被引：301

作者：

Ogryczak, W ^{[1
]}

Ruszczynski, A

机构：

[1] Warsaw Univ Technol, Inst Control & Computat Engn, PL-00665 Warsaw, Poland

[2] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA

[3] Rutgers State Univ, RUTCOR, Piscataway, NJ 08854 USA

来源：

SIAM JOURNAL ON OPTIMIZATION | 2002年 / 13卷 / 01期

关键词：

decisions under uncertainty; stochastic dominance; Fenchel duality; mean-risk analysis; quantile risk measures; stochastic programming;

D O I：

10.1137/S1052623400375075

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 stochastic dominance relation. We also provide stochastic linear programming formulations of these models.

引用

页码：60 / 78

页数：19

共 35 条

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