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| Volume 4, Number 3, September 2008, pp. 433-446 | |||||||||
| Darinka Dentcheva and Andrzej Ruszczyński | |||||||||
| Key words: | |||||||||
| stochastic dominance, risk measures, dual utility, rank dependent utility, Kusuoka representation, duality, stochastic program | |||||||||
| Mathematices Subject Classification: 90C15, 90C34, 90C48; 46N10, 60E15, 91B06 | |||||||||
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| Abstract: | |||
| We consider optimization problems with nonlinear second order stochastic dominance constraints formulated as relations of Lorenz curves. We demonstrate that mean-risk models with law invariant coherent risk measures appear as dual optimization problems to the problems with stochastic dominance constraints. | |||
| Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization | ||