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math.OC2025
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…
math.OC2025
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…