- About
- Admissions
- Study at AUS
- Prospective Students
- Bachelor's Degrees
- Master's Degrees
- Doctoral Degrees
- Admission Publications
- International Students
- Students with Disabilities
- Contact Admissions
- Grants and Scholarships
- Sponsorship Liaison Services
- Testing Center
- New Student Guide
- File Completion
- New Student Orientation
- Payment Guide
- Executive Education
- Academics
- Life at AUS
- Research and Graduate Studies
- Contact Us
- Apply Now
- .
Interval-based Stochastic Dominance: Theoretical Results and Application to Portfolio Theory (October 2021)
Abstract
We introduce a new stochastic dominance relationship, the interval-based stochastic dominance (ISD). By choosing different reference points, we show that ISD may span a continuum of preferences between kth and (k + 1)-th order stochastic dominance (SD). We distinguish accordingly between interval-based (or shortly just interval) SD of order 1 and of order 2: the former spanning from first- to second-order stochastic dominance, the latter from second- to third-order stochastic dominance. By examining the relationships between interval-based SD and SD, as well as between ISD and risk measures or utility functions, we frame the concept within decision theory and clarify its implications when applied to an optimal financial allocation problem. The formulation of ISD-constrained problems in the presence of discrete random variables is discussed in detail and applied to a portfolio selection problem.
About the Speaker
Dr. Giorgio Consigli, Associate Professor, Department of Mathematics, Khalifa University, UAE
For more information, please contact [email protected].