Inverse stochastic dominance constraints and rank dependent expected utility theory

被引:26
作者
Dentcheva, Darinka [1 ]
Ruszczynski, Andrzej
机构
[1] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA
[2] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA
关键词
Lorenz curve; Yaari's dual utility; duality; stochastic programming;
D O I
10.1007/s10107-006-0712-x
中图分类号
TP31 [计算机软件];
学科分类号
081202 ; 0835 ;
摘要
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 theory for problems with Lorenz dominance constraints. We prove that Lagrange multipliers associated with these constraints can be identified with rank dependent utility functions. The problem is numerically tractable in the case of discrete distributions with equally probable realizations.
引用
收藏
页码:297 / 311
页数:15
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