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Dual stochastic dominance and related mean-risk models. (English) Zbl 1022.91017
The authors consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation and develop the quantile model of stochastic dominance for general distributions. They show that several models using quantiles and tail characteristics of the distribution are in harmony with the stochastic dominance relation, and they provide stochastic linear programming formulations of these models.

MSC:
91B06 Decision theory
91B30 Risk theory, insurance (MSC2010)
52A41 Convex functions and convex programs in convex geometry
90C15 Stochastic programming
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