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Analysing decarbonizing strategies in the European power system applying stochastic dominance constraints

Domínguez, Ruth; Vitali, Sebastiano; Carrión, Miguel; … - In: Energy economics 101 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013161544

Stochastically weighted stochastic dominance concepts with an application in capital budgeting

Hu, Jian; Homem-de-Mello, Tito; Mehrotra, Sanjay - In: European journal of operational research : EJOR 232 (2014) 3, pp. 572-583

Persistent link: https://www.econbiz.de/10010224961

Optimal path problems with second-order stochastic dominance constraints

Nie, Yu; Wu, Xing; Homem-de-Mello, Tito - In: Networks and spatial economics : a journal of … 12 (2012) 4, pp. 561-587

Persistent link: https://www.econbiz.de/10009710834

A characterization of stochastic dominance efficiency

Aziz, Haris - In: Economic theory bulletin 2 (2014) 2, pp. 205-212

Persistent link: https://www.econbiz.de/10010428154

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497

Testing for the stochastic dominance efficiency of a given portfolio

Linton, Oliver; Post, Thierry; Whang, Yoon-jae - In: The econometrics journal 17 (2014) 2, pp. 59-74

Persistent link: https://www.econbiz.de/10010498726

Two-stage optimization problems with multivariate stochastic order constraints

Dentcheva, Darinka; Wolfhagen, Eli - In: Mathematics of operations research 41 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011448280

Ambiguity in risk preferences in robust stochastic optimization

Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225

Persistent link: https://www.econbiz.de/10011503281

A general test for SSD portfolio efficiency

Kopa, Milos̆; Post, Thierry - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 703-734

Persistent link: https://www.econbiz.de/10011296708

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581