Showing 1 - 10 of 10
We consider two-stage risk-averse stochastic optimization problems with a stochastic ordering constraint on the recourse function. Two new characterizations of the increasing convex order relation are provided. They are based on conditional expectations and on integrated quantile functions: a...
Persistent link: https://www.econbiz.de/10010574179
We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.
Persistent link: https://www.econbiz.de/10005408245
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous linear functionals from functional analysis. Our...
Persistent link: https://www.econbiz.de/10011107749
We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...
Persistent link: https://www.econbiz.de/10010999538
We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions...
Persistent link: https://www.econbiz.de/10005556746
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...
Persistent link: https://www.econbiz.de/10005561562
We propose a new methodology for estimating curves under a convexity restriction based on Fenchel duality and wavelet approximations. In contrast to approaches where a possibly non-convex estimator is convexified at a second stage, our procedure allows us to construct directly an estimator with...
Persistent link: https://www.econbiz.de/10008551122
We consider optimization problems with second order stochastic dominance constraints formulated as a relation of Lorenz curves. We characterize the relation in terms of rank dependent utility functions, which generalize Yaari's utility functions. We develop optimality conditions and duality...
Persistent link: https://www.econbiz.de/10005125607
Persistent link: https://www.econbiz.de/10005213523
We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...
Persistent link: https://www.econbiz.de/10010759130