Optimization with Stochastic Dominance Constraints [PDF]
SIAM Journal on Optimization, 2003 The paper refers to a model regarding the investment of a number of capital assets in order to obtain under the random returns of assets some desirable characteristics of the total return on the investment. The model is a stochastic optimization problem involving stochastic dominance constraints.
Andrzej Ruszczynski, Darinka Dentcheva
exaly +2 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
An economic-risk analysis of alternative rotations by stochastic simulation in Fars province [PDF]
Iran Agricultural Research, 2023 - Cultivation of legumes in crop rotations results in atmosphere nitrogen fixation. After harvesting, part of this external nitrogen remains in soil and is used by subsequent crops.
A. Sheikhzeinoddin +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
doaj +1 more source
Elitism and stochastic dominance [PDF]
Social Choice and Welfare, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bazen, Stephen, Moyes, Patrick
openaire +8 more sources
Testing for Restricted Stochastic Dominance [PDF]
SSRN Electronic Journal, 2006 Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance.
Davidson, Russell, Duclos, Jean-Yves
openaire +7 more sources
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
doaj +1 more source
Why choose wisely if you have already paid? Sunk costs elicit stochastic dominance violations [PDF]
Judgment and Decision Making, 2018 Sunk costs have been known to elicit violations of expected utility theory, in particular, the independence or cancellation axiom. Separately, violations of the stochastic dominance principle have been demonstrated in various settings despite the fact ...
Ryan K. Jessup +2 more
doaj +3 more sources
Discrete Analogue of Fishburn’s Fractional-Order Stochastic Dominance
Axioms, 2023 A stochastic dominance (SD) relation can be defined by two different perspectives: One from the view of distributions, and the other one from the view of expected utilities.
Hoover H. F. Yin +4 more
doaj +1 more source
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