Stochastically weighted stochastic dominance concepts with an application in capital budgeting
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DOI: 10.1016/j.ejor.2013.08.007
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References listed on IDEAS
- Jian Hu & Tito Homem-de-Mello & Sanjay Mehrotra, 2011. "Risk-adjusted budget allocation models with application in homeland security," IISE Transactions, Taylor & Francis Journals, vol. 43(12), pages 819-839.
- Erio Castagnoli & Marco LiCalzi, 2005. "Expected utility without utility," Game Theory and Information 0508004, University Library of Munich, Germany.
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Cited by:
- Leilei Zhang & Tito Homem-de-Mello, 2017. "An Optimal Path Model for the Risk-Averse Traveler," Transportation Science, INFORMS, vol. 51(2), pages 518-535, May.
- Post, Thierry, 2016. "Standard Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 248(3), pages 1009-1020.
- Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
- Escudero, Laureano F. & Garín, María Araceli & Merino, María & Pérez, Gloria, 2016. "On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs," European Journal of Operational Research, Elsevier, vol. 249(1), pages 164-176.
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Keywords
Stochastic programming; Stochastic dominance; Risk management; Chance constraint; Integer programming;All these keywords.
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