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Dual Stochastic Dominance and Related Mean-Risk Models

โœ Scribed by Ogryczak, WLodzimierz; Ruszczynski, Andrzej


Book ID
118204198
Publisher
Society for Industrial and Applied Mathematics
Year
2002
Tongue
English
Weight
266 KB
Volume
13
Category
Article
ISSN
1052-6234

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Dual Stochastic Dominance and Related Me
โœ Ogryczak, WLodzimierz; Ruszczynski, Andrzej ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Society for Industrial and Applied Mathematics ๐ŸŒ English โš– 266 KB

We consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of stochastic dominance for general distributions. This allows us to show that several