Andrzej Ruszczynski, Rutgers University
(SPEPS)
Society for Industrial and Applied Mathematics (Philadelphia, Pa.)
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Wlodzimierz Ogryczak, Warsaw University of Technology Andrzej Ruszczynski, Rutgers University | Title: | Dual stochastic dominance and related mean-risk models |
| Date of Acceptance: | 24.03.2001 |
| Submission Date: | 31.01.2001 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | stochastic dominance, stochastic programming, Decisions under uncertainty, Fenchel duality, mean-risk analysis, quantile risk measures |
| Appeared in: |
SIAM journal on optimization 1 (Vol. 13, 2002)
Society for Industrial and Applied Mathematics (Philadelphia, Pa.) |
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To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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