EURO-Online login
- New to EURO? Create an account
- I forgot my username and/or my password.
- Help with cookies
(important for IE8 users)
330. Stochastic dominance in decision making under uncertainty
Invited abstract in session TC-1: Milos Kopa, stream Keynotes.
Tuesday, 12:30-14:00Room: Sportshallen (building: 101)
Authors (first author is the speaker)
| 1. | Milos Kopa
|
| Department of Probability and Mathematical Statistics, Charles University in Prague, Faculty of Mathematics and Physics |
Abstract
Stochastic dominance is a statistical tool developed for comparing the random variables among each other. In financial applications, these random variables usually represent random returns of the considered assets or portfolios. The paper focuses on portfolio selection problems with stochastic dominance constraints for various orders of stochastic dominance relations. Firstly, the tractable necessary and sufficient conditions for particular probability distributions are discussed. Secondly, these conditions are employed in the static and dynamic portfolio selection problems. Finally, the extensions for the case of vector comparisons are presented. The theoretical results are accompanied by empirical examples.
Keywords
- Stochastic Optimization
- Stochastic Models
Status: accepted
Back to the list of papers