Paper Info
Title
Stochastically weighted stochastic dominance concepts with an application in capital budgeting.
Abstract
•We propose three new concepts of stochastically weighted stochastic dominance.•These concepts are represented by finitely many (mixed-integer) linear inequalities.•A capital investment problem illustrates the use of these concepts in finance.
Year
DOI
Venue
2014
10.1016/j.ejor.2013.08.007
European Journal of Operational Research
Keywords
Field
DocType
Stochastic programming,Stochastic dominance,Risk management,Chance constraint,Integer programming
Stochastic simulation,Stochastic optimization,Mathematical optimization,Random field,Stochastic dominance,Multivariate random variable,Stochastic programming,Optimization problem,Stochastic ordering,Mathematics
Journal
Volume
Issue
ISSN
232
3
0377-2217
Citations 
PageRank 
References 
7
0.47
12
Authors
3
Name
Order
Citations
PageRank
Jian Hu1765.23
Tito Homem-de-Mello285867.26
Sanjay Mehrotra352177.18