METRIZATION OF STOCHASTIC DOMINANCE RULES

DOI10.1142/S0219024912500173zbMath1282.91162OpenAlexW2065776771MaRDI QIDQ2882693

Stoyan V. Stoyanov, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500173

zbMATH Keywords

stochastic dominanceaverage value-at-riskalmost stochastic ordersquasi-semimetrics

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items

Aspects of optimization with stochastic dominance, Partial stochastic dominance via optimal transport, Optimization with Multivariate Stochastic Dominance Constraints, Compromise programming with Tchebycheff norm for discrete stochastic orders

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