Projects and Grants

Title

Advanced methods of stochastic orders for financial applications

Code

GA26-21034S

Summary

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

Start year

2026

End year

2028

Provider

The Czech Science Foundation