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Project Portfolio Selection Considering Uncertainty: Stochastic Dominance-Based Fuzzy Ranking
International Journal of Fuzzy Systems, 2021Liang-Hong Wu +3 more
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Stochastic Dominance in Human Capital
Journal of Political Economy, 1980The paper considers the choice between two finite income paths that are subject to random variations. It is shown that if one income path, X, has more cumulative variation at the outset and less variation toward the end than another income path, Y, then X dominates Y in the sense that (almost) every decision maker prefers X to Y.
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, 1990 We develop in this paper a systematic study of the stochastic dominance ordering in spaces of measures. We collect and present in an orderly fashion, results that are spread out in the Applied Probability and Mathematical Economics literature, and extend most of them to a somewhat broader framework.
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Multivariate Stochastic Dominance and Moments
Mathematics of Operations Research, 1991The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd−1 for the (d − 1)-dimensional marginals. Also some necessary conditions for ≥nd are established.
G. L. O'Brien, SCARSINI, MARCO
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Stochastic Dominance Without Transitive Preferences
Management Science, 1978Traditional definitions of stochastic dominance assume that the decision agent's preference-or-indifference relation on outcomes of risky decisions is transitive. This paper proposes a stochastic dominance relation for the comparison of risky decisions that is applicable to any complete and reflexive preference-or-indifference relation, or to any ...
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Stochastic Dominance and Moment Inequalities
Mathematics of Operations Research, 1984For any distribution function (df) F, define F1 = F and Fn+1 (x) = ∫−∞x Fn(y) dy. For two df's F and G, we obtain a relationship between the behaviour of Gn(x) − Fn(x) for large x and certain inequalities involving the moments of F and G. In particular, we generalize Fishburn's theorem, which deduces such inequalities from the condition that Gn(x ...
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Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices
, 2020Osamah M. Al-Khazali, Taisier A. Zoubi
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Stochastic Dominance among Log-Normal Prospects
International Economic Review, 1973THE MEAN-VARIANCE EFFICIENCY ANALYSIS introduced by Markowitz [16] and Tobin [24] is a valid decision rule either for the case in which the utility function is quadratic or if the returns are normally distributed and risk-aversion is assumed.2 The notion of stochastic dominance has recently been developed by Quirk and Saposnik [18], Hadar and Russell ...
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Robust portfolio optimization with second order stochastic dominance constraints
Computers & industrial engineering, 2020Ruchika Sehgal, A. Mehra
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