Convexification of Stochastic Ordering
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References listed on IDEAS
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- Darinka Dentcheva & Gabriela Martinez & Eli Wolfhagen, 2016. "Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints," Operations Research, INFORMS, vol. 64(6), pages 1451-1465, December.
- Pflug Georg Ch., 2006. "On distortion functionals," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-16, July.
- Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, University Library of Munich, Germany, revised 07 Aug 2005.
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- Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, University Library of Munich, Germany.
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More about this item
Keywords
Stochastic Dominance; Stochastic Ordering;JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Micro-Based Behavioral Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MIC-2004-02-23 (Microeconomics)
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