Portfolio selection using stochastic dominance criteria

Article Abstract:

The efficiency of portfolio selection can be significantly improved by using distribution-free stochastic dominance criteria based on linear programming techniques. Stochastic dominance criteria present several advantages over the mean-variance criteria, including generally smaller admissible sets, sensitivity to skewness in security return distributions and applicability to a broader range of utility functions. The approach yields superior solutions when the data do not satisfy the assumptions of the mean-variance criterion.

Portfolio Management, Management, Usage, Stochastic programming

---

Stochastic and intrasensitive behavior in a state-preference model of asset choice

Article Abstract:

An analysis describing investor behavior is presented. The analysis applies state preference model using a time-state dependent utility function. The analysis allows evaluation of an investment choice decision based on game theory. It is shown that the approach covers the possibility of anomalies such as intrasensitivity of preference and satisficing as rational behavior. A general solution presents a mixed strategy in determining an interpretation for the decision.

---

Decision making with uncertain judgments: a stochastic formulation of the analytic hierarchy process

Article Abstract:

Analytic Hierarchy Process (AHP) is a multicriterian decision-making method used in making challenging business decisions and troubleshoots in complexity and conflicting objectives. Different views, models for obtaining priorities and the alternatives were tested to reexamine quantitative judgments.

Methods, Multiple criteria decision making, Analysis, Simulation methods, Simulation, Logits

Similar abstracts:

• Abstracts: Effective business decision making. Incremental models of policy formulation and non-incremental changes: critical review and synthesis
• Abstracts: Project management descriptors. The impact of illiquidity and uncertainty on the multiperiod project investment decision process
• Abstracts: Multinational management strategy and human resource decision making in the single European market. Budget allocation in a UK university: contrasting periods of resource availability with resource scarcity
• Abstracts: Planning of portfolio of projects. Utilization of influence diagram for the design and integration of the construction and measurement control environment
• Abstracts: Non-normality and the design of control charts for averages. Interaction between concurrent transactions in the design of distributed databases

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.