Dual stochastic dominance and related mean-risk models

SIAM Journal on Optimization

Volumn 13, Issue 1, 2003, Pages 60-78

  Ogryczak, Włodzimierz ^a   Ruszczyński, Andrzej ^b  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Decisions under uncertainty; Fenchel duality; Mean risk analysis; Quantile risk measures; Stochastic dominance; Stochastic programming

Indexed keywords

EID: 0037288552     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1052623400375075     Document Type: Article

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