Interval-based stochastic dominance: theoretical framework and application to portfolio choices

DOI10.1007/s10479-021-04231-9zbMath1478.90069OpenAlexW3197958281MaRDI QIDQ2070730

Zhiping Chen, Giorgio Consigli, Jia Liu

Publication date: 24 January 2022

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

Full work available at URL: https://doi.org/10.1007/s10479-021-04231-9

zbMATH Keywords

reference pointstochastic dominanceportfolio selectionbi-criteria decision making

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Stochastic programming (90C15) Utility theory (91B16) Portfolio theory (91G10)

Uses Software

• DDSIP

Cites Work

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