Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Stochastic Dominance and Expected Utility: Survey and Analysis - MaRDI portal

Stochastic Dominance and Expected Utility: Survey and Analysis

From MaRDI portal
Publication:4012770

DOI10.1287/mnsc.38.4.555zbMath0764.90004OpenAlexW2171543997MaRDI QIDQ4012770

Haim Levy

Publication date: 27 September 1992

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.38.4.555




Related Items (only showing first 100 items - show all)

Improvements in the power of empirical stochastic dominance comparisons through kernel density estimation: a monte carlo studyMean–Variance Optimal Adaptive ExecutionSupplier Evaluation and Selection Based on Stochastic Dominance: A Quality-Based ApproachTesting for Restricted Stochastic DominancePartial stochastic dominance via optimal transportUnnamed ItemDynamic Risked EquilibriumOn the role of commodity futures in portfolio diversificationDistributionally robust mean-absolute deviation portfolio optimization using Wasserstein metricDeviation measure in second‐order stochastic dominance with an application to enhanced indexingTarget-Oriented Distributionally Robust Optimization and Its Applications to Surgery AllocationSpatial state-action features for general gamesInterpretation of Statistical Preference in Terms of Location ParametersOn the price of risk in a mean-risk optimization modelCompromise programming with Tchebycheff norm for discrete stochastic ordersA note on almost stochastic dominanceExpert judgments in the cost-effectiveness analysis of resource allocations: a case study in military planningDecision making on the sole basis of statistical likelihoodInverse Stochastic Dominance, Majorization, and Mean Order StatisticsRisk Aversion in Two-Stage Stochastic Integer ProgrammingStochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation ApproachOn the dual test for SSD efficiency With an application to momentum investment strategiesSKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCEExtending the MAD portfolio optimization model to incorporate downside risk aversionRelative Importance of Risk Sources in Insurance SystemsA kolmogorov-smirnov type test for positive quadrant dependenceData envelopment analysis of mutual funds based on second-order stochastic dominanceInternational Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian InvestorsSemantic dominance analysis for multicriteria decision‐making problems with unbalanced linguistic scaleOn deviation measures in stochastic integer programmingHow big is too big? Trading off the economies of scale of larger telecommunications network elements against the risk of larger outagesPortfolio selection with a minimax measure in safety constraintScreening location strategies to reduce exchange rate riskAlmost stochastic dominance under inconsistent utility and loss functionsA data envelopment analysis approach to measure the mutual fund performanceA unified approach to testing for and against a set of linear inequality constraints in the product multinomial settingDecomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and ValueWeighted Almost Stochastic Dominance: Revealing the Preferences of Most Decision Makers in the St. Petersburg ParadoxClear Preferences Under Partial Distribution InformationNew and improved estimators of distribution functions under second-order stochastic dominanceTwenty years of linear programming based portfolio optimizationA general test for SSD portfolio efficiencyComparing risks with reference points: a stochastic dominance approachMultivariate stochastic dominance for risk averters and risk seekersOrderings and Probability Functionals Consistent with PreferencesRobust portfolio selection under downside risk measuresTHE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORYMISUSE AND OPTIMUM INSPECTING STRATEGY IN AGENCY PROBLEMSPORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGSOn extending the LP computable risk measures to account downside riskMyopic loss aversion and margin of safety: the risk of value investingThe weekly pattern of commercial paper across different trading-day regimesOn Deviation Measures in Stochastic Integer ProgrammingOptimal path problems with second-order stochastic dominance constraintsFinding efficient and environmentally friendly paths for risk-averse freight carriersAbnormal expected utility and event study abnormal returnsThree-moments ranking and expected-utility maximization. A sufficient condition for the if-type consistencyPreference and veto thresholds in multicriteria analysis based on stochastic dominanceTesting for stochastic dominance using the weighted McFadden-type statisticThe fundamental theorem of mutual insuranceA Bayesian decision model based on expected utility and uncertainty riskRobustness issues under imprecise beliefs and preferencesSufficient conditions under which SSD- and MR-efficient sets are identicalMean-risk analysis with enhanced behavioral contentPricing and sales-effort investment under bi-criteria in a supply chain of virtual products involving riskPortfolio optimization under loss aversionAn examination of parallel versus coactive processing accounts of redundant-target audiovisual signal processingNon-separation in the mean -- lower-partial-moment portfolio optimization problemFraction-degree reference dependent stochastic dominanceMulti-objective stochastic programming for portfolio selectionSimple equilibria in general contestsOn increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic optionsAsymptotic multivariate dominance: a financial applicationA Kolmogorov-type test for second-order stochastic dominanceSome new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciencesRemarks on ``a measure of risk and a decision-making model based on expected utility and entropy by \textit{J. Yang} and \textit{W. Qiu} [Eur. J. Oper. Res. 164, No. 3, 792--799 (2005; Zbl 1057.91020)] ⋮ Decision theory and discrete mathematicsStochastic dominance testsStochastic dominance and mean-variance measures of profit and loss for business planning and investmentA decision model based on expected utility, entropy and varianceOptimal privatization portfolios in the presence of arbitrary risk aversionSecond-order stochastic dominance constrained portfolio optimization: theory and computational testsCapturing preferences for inequality aversion in decision supportThe mass transfer approach to multivariate discrete first order stochastic dominance: direct proof and implicationsConvex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-riskAdversarial risk analysis under partial informationSpanning tests for Markowitz stochastic dominanceNonparametric comparative revealed risk aversionApproximating exact expected utility via portfolio efficient frontiersProfitability and risk profile of reverse mortgages: a cross-system and cross-plan comparisonData envelopment analysis models of investment fundsRobust multicriteria risk-averse stochastic programming modelsFinancial analysis based sectoral portfolio optimization under second order stochastic dominanceOn the median in imprecise ordinal problemsAlternate risk measures for emergency medical service system designCapital rationing problems under uncertainty and riskCrossing points of distributions and a theorem that relates them to second order stochastic dominanceStability analysis of stochastic programs with second order dominance constraintsScenario-based portfolio selection of investment projects with incomplete probability and utility informationProcessing second-order stochastic dominance models using cutting-plane representations




This page was built for publication: Stochastic Dominance and Expected Utility: Survey and Analysis