Spanning and Intersection: A Stochastic Dominance Approach

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...

Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

A Stochastic Dominance Approach to Spanning

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings sugges...

An economic-risk analysis of alternative rotations by stochastic simulation in Fars province

ABSTRACT - Cultivation of legumes in crop rotations results in atmosphere nitrogen fixation. After harvesting, part of this external nitrogen remains in soil and is used by subsequent crops. This implies that producers would gain from lowering the amount of nitrogen fertilizer in their fields. In this study, stochastic simulation is used to generate probability distributions of net present valu...