We find the perhaps surprising inequality that the weighted average of independent and
identically distributed Pareto random variables with infinite mean is larger than one such …

In portfolio optimization, the computational complexity of implementing almost stochastic
dominance has limited its practical applications. In this study, we introduce an optimization …

Most often, important decisions involve several unknown attributes. This produces a double
challenge in the sense that both assessing the individual multiattribute preferences and …

Credit rating is an essential method for credit risk management and has been applied in
many fields. However, in the process of credit rating, the risk attitude of credit rating manager …

We show the perhaps surprising inequality that the weighted average of iid ultra heavytailed
(ie, infinite mean) Pareto losses is larger than a standalone loss in the sense of first-order …

In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which
are based on stochastic dominance relations. The goal is to select portfolios that …

Linguistic multi-attribute group decision making with linguistic distribution assessment
(LMAGDM-LDA) problems have been widely investigated. However, in the existing studies …

In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which
are based on stochastic dominance relations. The goal is to select portfolios that …

We study the problem of comparing ageing patterns of lifetimes of k-out-of-n systems with iid
components. Mathematically, this reduces to being able to decide about a stochastic …

Optimization with stochastic dominance constraints has recently received an increasing
amount of attention in the quantitative risk management literature. Instead of requiring that …