Results 251 to 260 of about 95,244 (278)

A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion

Journal of Financial and Quantitative Analysis, 2009
AbstractExisting approaches to testing for the efficiency of a given portfolio make strong parametric assumptions about investor preferences and return distributions. Stochastic dominance-based procedures promise a useful nonparametric alternative. However, these procedures have been limited to considering binary choices.
Kopa, M, Post, GT (Thierry)
openaire   +2 more sources

Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

Optimization, 2004
We consider stochastic optimization problems involving a continuum of probabilistic constraints. They are equivalent to stochastic dominance constraints of first order, frequently called stochastic ordering constraints. We develop necessary and sufficient conditions of optimality for these models.
Darinka Dentcheva †, Andrzej Ruszczyński   +1 more
openaire   +1 more source

The first-order stochastic dominance ordering of the Singh–Maddala distribution

Economics Letters, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Testing for First-Order Stochastic Dominance: A New Distribution-Free Test

The Statistician, 1996
SUMMARY This paper introduces a new distribution-free test for first-order stochastic dominance. It can be viewed as a modification of the well-known Wilcoxon-Mann-Whitney test. As it is based on the p-p-plot of two distribution functions the new test statistic has a nice pictorial interpretation.
Friedrich Schmid, Mark Trede
openaire   +1 more source

Nonparametric Efficiency Analysis under Price Uncertainty: A First-Order Stochastic Dominance Approach

Journal of Productivity Analysis, 2002
This paper extends the nonparametric approach to efficiency analysis to deal with uncertainty of input-output prices. We generalize the notion of economic efficiency to derive necessary and sufficient first-order stochastic dominance (FSD) efficiency conditions.
Kuosmanen, T., Post, T.
openaire   +2 more sources

Optimization Under First Order Stochastic Dominance Constraints [PDF]

, 2004
We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions of optimality for these models.
Darinka Dentcheva, Andrzej Ruszczynski
openaire  

Extreme Points and First-Order Stochastic Dominance: Theory and Applications

SSRN Electronic Journal, 2023
Kai-Hao Yang, Alexander Zentefis
openaire   +1 more source

The mass transfer approach to multivariate discrete first order stochastic dominance: Direct proof and implications

Journal of Mathematical Economics, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric

Information Sciences, 2022
Panos M Pardalos
exaly  

First-Order Stochastic Dominance Violations, Risk Preferences and Framing Effects

SSRN Electronic Journal, 2023
openaire   +1 more source