Stochastic dominance with linear partial information
type: Item
instance of: scholarly article
title: Stochastic dominance with linear partial information
zbMATH Open document ID: 0581.90041
DOI: 10.1016/0377-2217(86)90214-6
author: A. D. Pearman
author: Z. W. Kmietowicz
published in: European Journal of Operational Research
publication date: 1986-01-01T00:00:00Z
review text: This paper is concerned with expanding the range of application of stochastic dominance as a basis for choosing between alternative decision strategies. Unlike most work in this area, it does so on the assumption that the decision maker is not willing to specify a unique subjective probability distribution for future states of nature, but is only able to articulate a fuzzy, inexact set of beliefs, which may be summarized by appropriate linear constraints on probabilities of events. It is shown that the concept of stochastic dominance readily transfers to this decision environment and that the relevant calculations are quite straightforward. Additionally, the requirements for stochastic dominance and for statistical dominance are compared; the existence of the former is shown always to imply the latter.
Mathematics Subject Classification ID: 90B50
zbMATH DE Number: 3930704
zbMATH Keywords: linear partial information
zbMATH Keywords: finance
zbMATH Keywords: investment
zbMATH Keywords: stochastic dominance
zbMATH Keywords: linear constraints on probabilities of events
MaRDI profile type: Publication
full work available at URL: 0377-2217(86)90214-6
OpenAlex ID: W2029005993
cites work: Q5528344
cites work: Sensitivity of Decisions to Probability Estimation Errors: A Reexamination
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cites work: Q3040864
cites work: Decision Making with Linear Partial Information (L.P.I.)
cites work: Entscheidungen bei unvollständiger Information
description: scientific article; zbMATH DE number 3930704