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Dual Stochastic Dominance and Related Mean-Risk Models (2001)
by
Wlodzimierz Ogryczak
,
Andrzej Ruszczynski
| Citations: | 106 - 25 self |
BibTeX
@MISC{Ogryczak01dualstochastic,
author = {Wlodzimierz Ogryczak and Andrzej Ruszczynski},
title = {Dual Stochastic Dominance and Related Mean-Risk Models},
year = {2001}
}
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Abstract
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.
