Stochastic orders and their applications in financial optimization

被引：39
|
作者：
Kijima, M
Ohnishi, M
机构：
[1] Tokyo Metropolitan Univ, Fac Econ, Hachioji, Tokyo 1920397, Japan
[2] Osaka Univ, Grad Sch Econ, Toyonaka, Osaka 5600043, Japan
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 1999年 / 50卷 / 02期
关键词：
portfolio selection; demand problem; shift effect problem; bivariate characterization; risk aversion; generalized harmonic mean; equilibrium price; Markov chain;
D O I：
10.1007/s001860050102
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：351 / 372
页数：22
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