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SPEPS Preprint

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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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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