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second-order stochastic dominance

Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints

Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints

... a stochastic program with second order stochastic dominance ...the second order dominance constraint is the convex envelope of a finitely many lin- ear functions, ...

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Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

... Constrained Stochastic Programming 2.1 Multi Stages Stochastic Programming When decisions are made based on certain circumstances, the decision-maker may adopt the decision ...data. Stochastic ...

10

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors

... ascending stochastic dominance results for continuous density functions and continuously differentiable utility ...and second order ascending stochastic dominance for general ...

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Stochastic dominance option bounds and Nth order arbitrage opportunities

Stochastic dominance option bounds and Nth order arbitrage opportunities

... the second order stochastic dominance option bound- s by using the observed price of one concurrently expiring option at a ...improve second stochastic dominance option ...

44

On the Stochastic Dominance of Portfolio Insurance Strategies

On the Stochastic Dominance of Portfolio Insurance Strategies

... for stochastic dominance (SD) properties since SD takes account of the entire return ...for stochastic dominance is that it does not require any specific knowledge about the preferences of ...

14

Almost Stochastic Dominance and Efficient Investment Sets

Almost Stochastic Dominance and Efficient Investment Sets

... determine dominance even in situations where all “reasonable” in- vestors would clearly prefer one investment to ...SD dominance of one prospect over the other in this case, ...

9

Structure preserving stochastic Runge–Kutta–Nyström methods for nonlinear second order stochastic differential equations with multiplicative noise

Structure preserving stochastic Runge–Kutta–Nyström methods for nonlinear second order stochastic differential equations with multiplicative noise

... The second-order SDE (1.5) describes the position of a particle subject to deterministic forcing f (y) and random forcing ξ (t) [21]. By introducing a new variable z(t) = y(t), (1.5) ˙ can be written as a ...

18

Utilizing Second Order Information in Minibatch Stochastic Variance Reduced Proximal Iterations

Utilizing Second Order Information in Minibatch Stochastic Variance Reduced Proximal Iterations

... where µ is set to be 10 −1 /n. We follow the same settings as in the previous section, and compare with prox-SVRG (Xiao and Zhang, 2014), prox-SAGA (Defazio et al., 2014), prox MB-SVRG (Nitanda, 2014), and prox MB-SAGA, ...

56

Second order three stage stochastic Runge Kutta method for nuclear 
		reactors

Second order three stage stochastic Runge Kutta method for nuclear reactors

... Point kinetic equations are a system of nonlinear deterministic differential equations, however, the operability of the real dynamic process of a nuclear reactor is stochastic in nature [2-3]. The density of ...

8

A Second Order Stochastic Network Equilibrium Model, II: Solution Method and Numerical Experiments

A Second Order Stochastic Network Equilibrium Model, II: Solution Method and Numerical Experiments

... mean stochastic conditionsrequire all inter-zonal demands to be “large”, which is difficult to justify for many practical urban studies involving fin e zoning ...

30

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors with Analysis of their Traditional and Internet Stocks

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors with Analysis of their Traditional and Internet Stocks

... December 31, 2015. Furthermore, for robustness checking, we divide the entire period into six sub-periods. In order to compare the results from Fong, et al. (2008), we choose the same sub-periods used in Fong, et ...

58

A new model for solving stochastic second order cone complementarity problem and its convergence analysis

A new model for solving stochastic second order cone complementarity problem and its convergence analysis

... the stochastic second-order cone complementarity problem ...of stochastic variable, the SSOCCP may have no solutions. In order to deal with this problem, we first regard the merit ...

14

Poverty in Ireland, 1987 1994: a stochastic dominance approach

Poverty in Ireland, 1987 1994: a stochastic dominance approach

... In order to confirm that the CDFs do not cross in this range, in Table 2 we carry out an identical exercise to that in Table ...poverty dominance for 1994 over ...

28

Smoothing sample average approximation method for solving stochastic second order cone complementarity problems

Smoothing sample average approximation method for solving stochastic second order cone complementarity problems

... The stochastic problems are aimed at a practical treatment of such problems under ...that stochastic second-order-cone complementarity problems (SSOCCP) are more com- plicated than SOCCP and ...

13

Multivariate Stochastic Dominance for Risk Averters and Risk Seekers

Multivariate Stochastic Dominance for Risk Averters and Risk Seekers

... Theorem 3.2 establishes the hierarchical relationship in ASD and DSD. This relationship is important because, with the establishment of this theorem, only the lowest dominance order of SD is needed to be ...

21

The state of female autonomy in India: A stochastic dominance approach

The state of female autonomy in India: A stochastic dominance approach

... Here we briefly discuss some potential correlates of the regional patterns of dominance relationships. On a first glance, the impact of sanskritization and some measures of eco- nomic development associate well ...

24

Terrorist choice: a stochastic dominance and prospect theory analysis

Terrorist choice: a stochastic dominance and prospect theory analysis

... consideration. Stochastic dominance has found widespread application in economics because of its generality (Hadar and Russell 1969; Hanoch and Levy 1969; Rothschild and Stiglitz 1970 & 1971; Meyer ...

17

VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey

VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey

... the Stochastic Dominance ...the Stochastic Dominance rules is given in Appendix ...First Stochastic Dominance (FSD) rule is an optimal criterion for all rational individuals who ...

35

From Normal vs Skew Normal Portfolios: FSD and SSD Rules

From Normal vs Skew Normal Portfolios: FSD and SSD Rules

... An immediate consequence of the example discussed above is the fact that even in a normal market an investor can face the problem of comparing portfolios having returns which are skew-normally distributed. Once again the ...

6

Experimental Studies of Impacts of  Reference Point and Its Change on  Individual Value

Experimental Studies of Impacts of Reference Point and Its Change on Individual Value

... Firstly, several practice questions were designed to help people be familiar with the experiment procedure. Here, the data of the practice questions would not be recorded. Practice questions contained two certainty ...

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