Dual Stochastic Dominance and Related Mean-Risk Models

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. Key words. Decisions under uncertainty, stochastic dominance, Fenchel duality, mean{risk analysis, quantile risk measures, stochastic programming. AMS subject classi cations. Primary, 90A05, 90A46, 52A41 Secondary, 90A09, 90C15

• Type: Journal
• Year: 2002
• Where: SIAMJO
• Authors: Wlodzimierz Ogryczak, Andrzej Ruszczynski
• Keywords: Degree Stochastic Dominance, SIAMJO 2002, Stochastic Dominance, Stochastic Dominance Relation