Dual Stochastic Dominance and Related Me
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Ogryczak, WLodzimierz; Ruszczynski, Andrzej
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Article
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2002
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Society for Industrial and Applied Mathematics
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English
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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