A stochastic dominance comparison of truncated normal distributions

Article Abstract:

The truncated normal distribution for modeling potential returns on investments in capital budgeting and portfolio analysis is evaluated. Two distributions are compared within which the types of truncation considered include the equal tail area and same-value left tail truncations. First and second order stochastic dominance rules are given for the two distributions. It is shown that graphical representations of the distributions can be made through the application of transforms.

Gaussian distribution, Normal distribution

---

Risk taking in stochastic PERT networks

Article Abstract:

A project evaluation and review technique that provides for project manager risk taking behavior in stochastic environments is evaluated. The network-based decision support technique provides an estimate of project completion time through the use of disutility functions for path selection resulting in an optimal solution. The network is capable of providing only a limited set of exact solutions but an extension for handling multi-dimentional networks is also provided.

Project management, Program Evaluation and Review Technique

---

A statistically optimal estimator of semivariance

Article Abstract:

A decision-making technique that is unbiased, consistent and computationally efficient for use in risk-measurement applications is developed. The lower variance statistical estimator for the semivariance can be used for non-symmetric distributions and is the sum of squared sample deviations from the sample mean divided by a weighting coefficient for removing bias. The lower is recommended for skewed distributions.

Usage, Estimation theory

Similar abstracts:

• Abstracts: A review of stochastic modelling of delay and capacity at unsignalized priority intersections. On the single machine total tardiness problem
• Abstracts: The public face of architecture. Action stations
• Abstracts: The consequences for manufacturers of changes in retail distribution. Developments in implementable retailing research
• Abstracts: Serial and parallel value iteration algorithms for discounted Markov decision processes. Core, least core and nucleolus for multiple scenario cooperative games

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