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Multivariate stochastic orderings consistent with preferences and their possible applications

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086864" target="_blank" >RIV/61989100:27510/13:86086864 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Multivariate stochastic orderings consistent with preferences and their possible applications

  • Original language description

    In this paper we propose multivariate stochastic orderings of risk positions that are consistent with the preferences of investors. Since investors maximize an expected state-dependent utility function, we analyze stochastic orderings that take into account of possible investors' benchmarks. We begin by analyzing the links among continua stochastic dominance orders, survival and inverse stochastic dominance rules. Then we tie together the consistency-isotonicity of risk and reward multivariate measureswith classical orderings and we show how risk/variability multivariate measures are used to obtain non dominated choices. In second analysis we discuss an extension of the classical orderings using probability functionals that satisfy an opportune identity property and the basic rules of the theory of integral stochastic orders. In the discussion we propose several examples that clarify the main developments of the proposed analysis. In particular we describe new multivariate orderings t

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic

  • ISBN

    978-80-87035-76-4

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    724-729

  • Publisher name

    College of Polytechnics Jihlava

  • Place of publication

    Jihlava

  • Event location

    Jihlava

  • Event date

    Sep 11, 2013

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article