随机优势
数学
分位数
正多边形
应用数学
数学优化
随机建模
计量经济学
数理经济学
统计
几何学
作者
Włodzimierz Ogryczak,Andrzej Ruszczyński
出处
期刊:Siam Journal on Optimization
[Society for Industrial and Applied Mathematics]
日期:2002-01-01
卷期号:13 (1): 60-78
被引量:462
标识
DOI:10.1137/s1052623400375075
摘要
We consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of stochastic dominance for general distributions. This allows us to show that several models using quantiles and tail characteristics of the distribution are in harmony with the stochastic dominance relation. We also provide stochastic linear programming formulations of these models.
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