Ogryczak, W., Ruszczynski, A. (1998), "On Stochastic Dominance and Mean-- Semideviation Models", Research Report RRR 7--98, RUTCOR, Rutgers University, Piscataway NJ. Home/Search Document Details and Download
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Extending the MAD Portfolio Optimization Model to.. - Michalowski, al. (1998) (Correct)
.... 1964; Hanoch and Levy, 1969; Rothschild and Stiglitz, 1970) Since that time it has been widely used in economics and finance (see Levy, 1992 for numerous references) Detailed and comprehensive discussion of a stochastic dominance and its relation to the downside risk measures is given in Ogryczak and Ruszczynski (1997, 1998). In the stochastic dominance approach uncertain prospects (random variables) are compared by pointwise comparison of some performance functions constructed from their distribution functions. Let R x be a random variable which represents the rate of return for portfolio x and P x denote the ....
Ogryczak, W., Ruszczynski, A. (1998), "On Stochastic Dominance and Mean-- Semideviation Models", Research Report RRR 7--98, RUTCOR, Rutgers University, Piscataway NJ.
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