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 language | English |
|---|---|
| Pages (from-to) | 433-446 |
| Number of pages | 14 |
| Journal | Pacific Journal of Optimization |
| Volume | 4 |
| Issue number | 3 |
| State | Published - Sep 2008 |
Keywords
- Dual utility
- Duality
- Kusuoka representation
- Rank dependent utility
- Risk measures
- Stochastic dominance
- Stochastic program
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