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The British Journal for the Philosophy of Science, 2023 Decision theorists widely accept a stochastic dominance principle: roughly, if a risky prospect 𝐴 is at least as probable as another prospect 𝐵 to result in something at least as good, then 𝐴 is at least as good as 𝐵 . Recently, philosophers have applied
Jeffrey Sanford Russell
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Stochastic Dominance: Introduction
Stochastic Dominance Option Pricing, 2019Stochastic dominance is a concept about choice under risk that was originally derived from the economics literature for the ordering of uncertain prospects by a particular set of investors. This chapter reviews the early definitions and applications, which started in 1962 with a contribution in the economics literature by Quirk and Saposnik and ...
Stylianos Perrakis
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Operational Research, 2022
Diversification is generally regarded as an efficient tool to reduce portfolio risks. In “An unexpected stochastic dominance: Pareto distributions, dependence, and diversification,” Chen, Embrechts, and Wang showed that the weighted average of ...
Yuyu Chen, P. Embrechts, Ruodu Wang
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Diversification is generally regarded as an efficient tool to reduce portfolio risks. In “An unexpected stochastic dominance: Pareto distributions, dependence, and diversification,” Chen, Embrechts, and Wang showed that the weighted average of ...
Yuyu Chen, P. Embrechts, Ruodu Wang
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IEEE Transactions on Sustainable Energy, 2020
Risk management is critical for wind producers to participate in electricity markets. Beside market price volatility and uncertainty, wind producers are facing an additional uncertainty in the level of wind power generation.
Mohamed Kareem AlAshery +2 more
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Risk management is critical for wind producers to participate in electricity markets. Beside market price volatility and uncertainty, wind producers are facing an additional uncertainty in the level of wind power generation.
Mohamed Kareem AlAshery +2 more
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Fractional Degree Stochastic Dominance
Management Sciences, 2020We develop a continuum of stochastic dominance rules for expected utility maximizers. The new rules encompass the traditional integer-degree stochastic dominance; between adjacent integer degrees, they formulate the consensus of individuals whose ...
Rachel J. Huang +2 more
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Tractable Almost Stochastic Dominance
European Journal of Operational Research, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lizyayev, Andrey, Ruszczyński, Andrzej
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Marginal Conditional Stochastic Dominance
Management Science, 1994This paper introduces the concept of Marginal Conditional Stochastic Dominance (MCSD), which states the conditions under which all risk-averse individuals, when presented with a given portfolio, prefer to increase the share of one risky asset over that of another. MCSD rules also answer the question of whether all risk-averse individuals include a new
Haim Shalit, Shlomo Yitzhaki
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Portfolio Optimization Based on Almost Second-Degree Stochastic Dominance
Management SciencesIn portfolio optimization, the computational complexity of implementing almost stochastic dominance has limited its practical applications. In this study, we introduce an optimization framework aimed at identifying the optimal portfolio that outperforms ...
Chunling Luo, Piao Chen, P. Jaillet
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The Journal of Finance, 1982
IN THE LATE 1960s and 1970s, the Stochastic Dominance (SD) efficiency analysis framework was extensively developed and applied mainly to portfolio selection problems. The three basic decision criteria in this framework are the First, Second, and Third Degree Stochastic Dominance rules (hereafter FSD, SSD, and TSD, respectively). In most previous proofs
Kroll, Yoram, Levy, Haim
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IN THE LATE 1960s and 1970s, the Stochastic Dominance (SD) efficiency analysis framework was extensively developed and applied mainly to portfolio selection problems. The three basic decision criteria in this framework are the First, Second, and Third Degree Stochastic Dominance rules (hereafter FSD, SSD, and TSD, respectively). In most previous proofs
Kroll, Yoram, Levy, Haim
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European Journal of Operational Research, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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