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A state-of-the-art fund performance index : higher-order omega and its consistency with almost stochastic dominance

Lu, Hengzhen; Zhang, Yingying; Xiao, Ling; Dhesi, Gurjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the...

Persistent link: https://www.econbiz.de/10013471446

Multi-class pilot dispatching problem with stochastic pilotage duration

Xiao, Liyang; Sun, Peng; Wang, Li; He, Mengyu - In: International journal of production research 62 (2024) 10, pp. 3585-3605

Persistent link: https://www.econbiz.de/10014547079

Stochastic optimization with decision-dependent distributions

Drusvyatskiy, Dmitriy; Xiao, Lin - In: Mathematics of operations research 48 (2023) 2, pp. 954-998

Persistent link: https://www.econbiz.de/10014314968

Adaptive stochastic variance reduction for subsampled Newton method with cubic regularization

Zhang, Junyu; Xiao, Lin; Zhang, Shuzhong - In: INFORMS journal on optimization 4 (2022) 1, pp. 45-64

Persistent link: https://www.econbiz.de/10013184948