On consistency of stochastic dominance and mean–semideviation models

被引：0

作者：

Włodzimierz Ogryczak

Andrzej Ruszczyński

机构：

[1] Warsaw University of Technology,

[2] Institute of Control and Computation Engineering,undefined

[3] 00–665 Warsaw,undefined

[4] Poland,undefined

[5] e-mail: ogryczak@ia.pw.edu.pl,undefined

[6] Rutgers University,undefined

[7] Department of Management Science and Information Systems,undefined

[8] Piscataway,undefined

[9] NJ 08854,undefined

[10] USA,undefined

[11] e-mail: rusz@rutcor.rutgers.edu,undefined

来源：

Mathematical Programming | 2001年 / 89卷

关键词：

Key words: decisions under risk – stochastic dominance – mean–risk models – portfolio optimization; Mathematics Subject Classification (2000): 91B06, 90C15, 91B28;

D O I：

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学科分类号：

摘要：

We analyze relations between two methods frequently used for modeling the choice among uncertain outcomes: stochastic dominance and mean–risk approaches. New necessary conditions for stochastic dominance are developed. These conditions compare values of a certain functional, which contains two components: the expected value of a random outcome and a risk term represented by the central semideviation of the corresponding degree. If the weight of the semideviation in the composite objective does not exceed the weight of the expected value, maximization of such a functional yields solutions which are efficient in terms of stochastic dominance. The results are illustrated graphically.

引用

页码：217 / 232

页数：15