Name
Abstract | ||
|---|---|---|
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. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1007/s10107-006-0712-x | Math. Program. |
Keywords | Field | DocType |
utility function,dependent expected utility theory,stochastic programming,duality,inverse stochastic dominance constraint,optimality condition,lorenz curve,discrete distribution,order stochastic dominance constraint,optimization problem,duality theory,yaari's dual utility,rank dependent utility function,lorenz dominance constraint,probable realization,lagrange multiplier,stochastic dominance | Mathematical optimization,Duality (mathematics),Lorenz curve,Lagrange multiplier,Stochastic dominance,Duality (optimization),Optimization problem,Stochastic programming,Mathematics,Rank-dependent expected utility | Journal |
Volume | Issue | ISSN |
108 | 2 | 1436-4646 |
Citations | PageRank | References |
9 | 0.72 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Darinka Dentcheva | 1 | 345 | 25.80 |
| Andrzej Ruszczyński | 2 | 798 | 84.38 |