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Stochastic orders and their applications in financial optimization

Author

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  • Masaaki Kijima
  • Masamitsu Ohnishi

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

Suggested Citation

  • Masaaki Kijima & Masamitsu Ohnishi, 1999. "Stochastic orders and their applications in financial optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 351-372, October.
    • Handle: RePEc:spr:mathme:v:50:y:1999:i:2:p:351-372
    DOI: 10.1007/s001860050102
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    Citations

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    Cited by:

    1. Criens, David, 2018. "A note on the monotone stochastic order for processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 127-131.
    2. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
    3. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School.
    4. Khan, Ruhul Ali & Bhattacharyya, Dhrubasish & Mitra, Murari, 2021. "On some properties of the mean inactivity time function," Statistics & Probability Letters, Elsevier, vol. 170(C).
    5. Ohnishi, Masamitsu & Osaki, Yusuke, 2006. "The comparative statics on asset prices based on bull and bear market measure," European Journal of Operational Research, Elsevier, vol. 168(2), pages 291-300, January.
    6. Kirmani, Syed N. U. A. & Dauxois, Jean-Yves, 2003. "Testing relative risk under random censoring," Statistics & Probability Letters, Elsevier, vol. 62(1), pages 1-7, March.

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