Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization

Darinka Dentcheva, Andrzej Ruszczyński

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

We consider optimization problems with nonlinear second order stochastic dominance constraints formulated as relations of Lorenz curves. We demonstrate that mean-risk models with law invariant coherent risk measures appear as dual optimization problems to the problems with stochastic dominance constraints.

Original languageEnglish
Pages (from-to)433-446
Number of pages14
JournalPacific Journal of Optimization
Volume4
Issue number3
StatePublished - Sep 2008

Keywords

  • Dual utility
  • Duality
  • Kusuoka representation
  • Rank dependent utility
  • Risk measures
  • Stochastic dominance
  • Stochastic program

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