Relaxations of Linear Programming Problems With First Order Stochastic Dominance Constraints [PDF]
Operations Research Letters, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nilay Noyan +2 more
exaly +6 more sources
Application of Stochastics Dominance via Quantile Regression in Analysis of Arbitrage Opportunities Market Efficiency and Investors Preferences [PDF]
تحقیقات مالی, 2021 Objective: The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution.
Moslem Peymany Foroushany +2 more
doaj +1 more source
The concept of stochastic dominance in ranking investment alternatives [PDF]
Ekonomski Anali, 2005 In order to rank investments under uncertainty, the most widely used method is mean variance analysis. Stochastic dominance is an alternative concept which ranks investments by using the whole distribution function.
Trifunović Dejan
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Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints [PDF]
SIAM Journal on Optimization, 2007 We analyze the stability and sensitivity of stochastic optimization problems with stochastic dominance constraints of first order. We consider general perturbations of the underlying probability measures in the space of regular measures equipped with a suitable discrepancy distance.
Dentcheva, Darinka +2 more
openaire +4 more sources
Fundamentals Rating Based on the Additive Ratio Assessment (ARAS) and Stochastic Utility of Investors: Evidences from Tehran Stock Exchange [PDF]
چشمانداز مدیریت صنعتی, 2019 Given the variety of factors influencing on financial decision making and subjective nature of the most decisions is only part of their features associated with Multi-Criteria Decision Making.
Fatemeh Bayazidi +2 more
doaj +1 more source
A Stochastic Dominance-Based Approach for Hotel Selection under Probabilistic Linguistic Environment
Mathematics, 2020 Online reviews of hotels reflect tourist perception and evaluation, which are becoming an important perspective of studying hotel selection. In this paper, we prefer to use a probabilistic linguistic term set (PLTS) to fully reveal evaluation grades and ...
Su-min Yu +4 more
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Portfolio Optimization by Stochastic Dominance Method in the Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2019 The formation of the optimum portfolio based on risk and return is one of the most important decisions of investors in financial markets, for which there are various methods.
Moslem Peymany Foroushany +3 more
doaj +1 more source
Violations of first-order stochastic dominance
Journal of the Economic Science Association, 2023 AbstractI find necessary and sufficient conditions for first-order stochastic dominance (FOSD) violations for choices from a budget line of Arrow securities. Applying this characterization to existing data, I compare FOSD violation rates across a broad set of risk preference elicitation tasks.
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Performance Evaluation of Iranian OTC's Companies by Using Stochastic Dominance Criteria and Optimizing with PSO and ANN Hybrid Model [PDF]
Journal of Asset Management and Financing, 2018 The goal of the current study is performance evaluation of Iranian OTCs companies by using stochastic dominance and optimizing them by employing Artificial Neural Network and Particle Swarm Optimization hybrid model .To fulfill this objective, we used ...
Sajad Jamshidi, Gholam Reza Zamanian
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Trading Cryptocurrencies Using Second Order Stochastic Dominance
Mathematics, 2021 This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano.
Gil Cohen
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