Decision making with stochastic dominance: An expository review

Josef Hadar and William R Russell

Omega, 1974, vol. 2, issue 3, 365-377

Abstract: This paper surveys the use of stochastic dominance to decision making under uncertainty. The first part presents the relevant definitions and some properties of distributions satisfying one of the stochastic dominance conditions. These properties include restrictions on moments, an invariance property, and properties of random variables related by an exact formula. The second part contains some applications of the stochastic dominance method and especially the problem of selecting optimal portfolios. Most of the results in this section deal with conditions that make diversification an optimal strategy.

Date: 1974
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0305-0483(74)90028-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:2:y:1974:i:3:p:365-377

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().