Stochastic orders and their applications in financial optimization

DOI10.1007/s001860050102zbMath0958.91020OpenAlexW2047401236MaRDI QIDQ1809503

Masamitsu Ohnishi, Masaaki Kijima

Publication date: 8 April 2001

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050102

zbMATH Keywords

Markov chainportfolio selectionequilibrium pricegeneralized harmonic meanbivariate characterizationdemand problemshift effect problem

Mathematics Subject Classification ID

Related Items (18)

On the nonparametric smooth estimation of the reversed hazard rate function ⋮ Proportional reversed hazard rate model and its applications ⋮ A note on the monotone stochastic order for processes with independent increments ⋮ Some aspects of reversed hazard rate and past entropy ⋮ On some properties of the mean inactivity time function ⋮ Nonparametric smooth estimation of the expected inactivity time function ⋮ An economic premium principle in a multiperiod economy. ⋮ Testing relative risk under random censoring. ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS ⋮ Toward the evaluation of P(X_(t) > Y_(t)) when both X_(t) and Y_(t) are inactivity times of two systems ⋮ A class of Hurwitz-Lerch zeta distributions and their applications in reliability ⋮ Unreliable M/G/1 retrial queue: Monotonicity and comparability ⋮ Properties of a job search problem on a partially observable Markov chain in a dynamic economy ⋮ Monotonicity of the (reversed) hazard rate of the (maximum) minimum in bivariate distribu\-tions ⋮ Extension of the past lifetime and its connection to the cumulative entropy ⋮ Properties of Reliability Functions of Discrete Distributions ⋮ A Mixture Model of Proportional Reversed Hazard Rate ⋮ The comparative statics on asset prices based on bull and bear market measure

This page was built for publication: Stochastic orders and their applications in financial optimization