Stochastic orders and their applications in financial optimization

Masaaki Kijima and Masamitsu Ohnishi

Mathematical Methods of Operations Research, 1999, vol. 50, issue 2, 372 pages

Abstract: Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift effect problems in portfolio selection. Some other examples, which are not related directly to optimization problems, are also given to demonstrate the wide spectrum of application areas of stochastic orders in finance. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Portfolio selection; demand problem; shift effect problem; bivariate characterization; risk aversion; generalized harmonic mean; equilibrium price; Markov chain (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:50:y:1999:i:2:p:351-372

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DOI: 10.1007/s001860050102

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