4 papers
StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance
Rajmadan Lakshmanan, Alois Pichler
Stochastic dominance is a fundamental concept in decision-making under uncertainty and quantitative finance, yet its practical application is hindered by computational intractabili…
Higher-Order Stochastic Dominance Constraints in Optimization
Rajmadan Lakshmanan, Alois Pichler, Miloš Kopa
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the op…
Higher order measures of risk and stochastic dominance
Alois Pichler
Higher order risk measures are stochastic optimization problems by design, and for this reason they enjoy valuable properties in optimization under uncertainties. They nicely integ…
Soft Quantization using Entropic Regularization
Rajmadan Lakshmanan, Alois Pichler
The quantization problem aims to find the best possible approximation of probability measures on using finite, discrete measures. The Wasserstein distance is a typ…