Advanced methods of stochastic orders for financial applications
Public support
Provider
Czech Science Foundation
Programme
Standard projects
Call for proposals
SGA0202600001
Main participants
Univerzita Karlova / Matematicko-fyzikální fakulta
Contest type
VS - Public tender
Contract ID
26-21034S
Alternative language
Project name in Czech
Advanced methods of stochastic orders for financial applications
Annotation in Czech
Stochastic dominance has been introduced as a tool for predicting a decision maker's choice between pairs of uncertain prospects, without having a precise knowledge of his/her utility function, but just some information about his/her risk attitude. The project proposes new models and techniques for decision making using stochastic dominance principle. In particular, portfolio selection problems with decreasing absolute risk aversion stochastic dominance constraints as well as bi-level stochastic optimization problems with efficiency constraints in order to fill in a research gap will be introduced and analyzed. Moreover, the concept of measures of stochastic non-dominance will be newly applied to portfolio selection and multi-stage stochastic programming problems. To improve a modelization in terms of flexibility in investor’s preferences, some recent works establish continuum of dominance relations. The issue of testing these new stochastic dominance relations, which is crucially important from a practical point of view will be addressed since it is still missing in literature.
Scientific branches
R&D category
ZV - Basic research
OECD FORD - main branch
50202 - Applied Economics, Econometrics
OECD FORD - secondary branch
50206 - Finance
OECD FORD - another secondary branch
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CEP - equivalent branches <br>(according to the <a href="http://www.vyzkum.cz/storage/att/E6EF7938F0E854BAE520AC119FB22E8D/Prevodnik_oboru_Frascati.pdf">converter</a>)
AH - Economics<br>GA - Agricultural economics
Solution timeline
Realization period - beginning
Jan 1, 2026
Realization period - end
Dec 31, 2028
Project status
Z - Beginning multi-year project
Latest support payment
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Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP26-GA0-GA-R
Data delivery date
May 19, 2026
Finance
Total approved costs
7,362 thou. CZK
Public financial support
6,999 thou. CZK
Other public sources
363 thou. CZK
Non public and foreign sources
0 thou. CZK