TY - JOUR
T1 - Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
AU - Dentcheva, Darinka
AU - Ruszczyński, Andrzej
PY - 2008/9
Y1 - 2008/9
N2 - 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.
AB - 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.
KW - Dual utility
KW - Duality
KW - Kusuoka representation
KW - Rank dependent utility
KW - Risk measures
KW - Stochastic dominance
KW - Stochastic program
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M3 - Article
AN - SCOPUS:73549116574
SN - 1348-9151
VL - 4
SP - 433
EP - 446
JO - Pacific Journal of Optimization
JF - Pacific Journal of Optimization
IS - 3
ER -