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Browsing by Subject "Linear programming"

Browsing by Subject "Linear programming"

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  • Higher-degree stochastic dominance optimality and efficiency 
    Fang, Yi; Post, Thierry (European Journal of Operational Research, 2017-09-16)
    Abstract We characterize a range of Stochastic Dominance (SD) relations by means of finite systems of convex inequalities. For ‘SD optimality’ of degree 1 to 4 and ‘SD efficiency’ of degree 2 to 5, we obtain exact systems ...
  • Stochastic Spanning 
    Arvanitis, Stelios; Hallam, Mark; Post, Thierry; Topaloglou, Nikolas (AMER STATISTICAL ASSOC, 2018)
    This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test ...