- Author
- Trzpiot Grażyna (Akademia Ekonomiczna w Katowicach), Zaraś Kazimierz (Université du Québec en Abitibi-Temiscaminque, Rouyn-Noranda, Québec, Canada)
- Title
- Algorytm wyznaczania dominacji stochastycznych stopnia trzeciego
An Algorithm for Determination of the Third Degree Stochastic Dominance - Source
- Badania Operacyjne i Decyzje, 1999, nr 2, s. 75-85, rys., tab., bibliogr. 7 poz.
Operations Research and Decisions - Keyword
- Algorytmy, Dominacja stochastyczna
Algorithms, Stochastic dominance - Note
- streszcz., summ.
- Abstract
- W literaturze przedstawiono kilka algorytmów wyznaczania dominacji stochastycznych [1]-[3], [5], jednak okazuje się, że są one nieskuteczne do wyznaczania dominacji stochastycznej trzeciego stopnia. Praca nad tym problemem zaowocowała własną propozycją algorytmu wyznaczania dominacji stochastycznej trzeciego stopnia. (abstrakt oryginalny)
A concept of stochastic dominance has been developed and extensively employed in the area of economics and particularly in finance. Frequently stochastic dominance rules are discussed for ranking alternatives. Uncertain events used to be viewed in a classical manner as random variables, the latter being then compared in terms of their moments. When applying the concept of stochastic dominance, all values of random variables can be used for such a comparison. Starting with the definition of stochastic dominance we arrive at empirical results by way of implementing some algorithms to discrete data sets. We can find a few such algorithms for determination of stochastic dominance in the literature [1], [2], [3], [5]. When we started to work with them we checked that they were falso for the third degree stochastic dominance. The main objective of this work is new a concept of an algorithm for determination of the third degree stochastic dominance. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics - Bibliography
-
- ABOUDI R., THON D., Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data, Management Science, 1994, Vol. 40, No. 4, 508-515.
- BAWA V.S., LINDENBERG E.B., RAFSKY L.C., An Efficient Algorithm To Determine Stochastic Dominance Admissible Sets, Management Science, 1979, Vol. 25, No. 7, 609-622.
- FISHBURN P.C., LAVALLE I., Stochastic Dominance and Undimensional Grids, Management Science, 1995, Vol. 20, No. 3, 513-525.
- LEVY H., KROLL Y., Efficiency Analysis with Borrowing and Lending: Criteria and Effectiveness, The Review of Economics and Statistics, 1979, 125-130.
- PORTER R.B., WART J.R., FERGUSON D.L., Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolio, Journal of Financial and Quantitative Analysis, 1973, 8, 71-81.
- TRZPIOT G., Odwrotne dominacje stochastyczne, w: Zastosowania badań operacyjnych, Absolwent, 1997, 435-448, Łódź.
- ZARAŚ K., Dominances stochastiques pour deux classes de fonctions d'utilité: concaves et convexes, RAIRO: Recherche Opérationelle, 1989, Vol. 23, No. 1, 57-65.
- Cited by
- ISSN
- 1230-1868
- Language
- pol
