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Decision making with imprecise probabilities and utilities by means of statistical preference and stochastic dominance

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  • Montes, Ignacio
  • Miranda, Enrique
  • Montes, Susana

Abstract

A problem of decision making under uncertainty in which the choice must be made between two sets of alternatives instead of two single ones is considered. A number of choice rules are proposed and their main properties are investigated, focusing particularly on the generalizations of stochastic dominance and statistical preference. The particular cases where imprecision is present in the utilities or in the beliefs associated to two alternatives are considered.

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  • Montes, Ignacio & Miranda, Enrique & Montes, Susana, 2014. "Decision making with imprecise probabilities and utilities by means of statistical preference and stochastic dominance," European Journal of Operational Research, Elsevier, vol. 234(1), pages 209-220.
    • Handle: RePEc:eee:ejores:v:234:y:2014:i:1:p:209-220
    DOI: 10.1016/j.ejor.2013.09.013
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Levy, Moshe, 2022. "An inter-temporal CAPM based on First order Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 298(2), pages 734-739.
    2. Jiang, Yanping & Liang, Xia & Liang, Haiming & Yang, Ningman, 2018. "Multiple criteria decision making with interval stochastic variables: A method based on interval stochastic dominance," European Journal of Operational Research, Elsevier, vol. 271(2), pages 632-643.
    3. Radko Mesiar & Andrea Stupňanová & Ronald R. Yager, 2018. "Extremal symmetrization of aggregation functions," Annals of Operations Research, Springer, vol. 269(1), pages 535-548, October.
    4. Kokol Bukovšek, Damjana & Košir, Tomaž & Mojškerc, Blaž & Omladič, Matjaž, 2022. "Extreme generators of shock induced copulas," Applied Mathematics and Computation, Elsevier, vol. 429(C).
    5. Ignacio Montes & Enrique Miranda & Susana Montes, 2017. "Imprecise stochastic orders and fuzzy rankings," Fuzzy Optimization and Decision Making, Springer, vol. 16(3), pages 297-327, September.
    6. Levy, Moshe, 2019. "Stocks for the log-run and constant relative risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 277(3), pages 1163-1168.
    7. Montes, Ignacio & Rademaker, Michael & Pérez-Fernández, Raúl & De Baets, Bernard, 2020. "A correspondence between voting procedures and stochastic orderings," European Journal of Operational Research, Elsevier, vol. 285(3), pages 977-987.
    8. Xu, Peng, 2024. "Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach," International Review of Financial Analysis, Elsevier, vol. 95(PA).

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