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Stochastic orders and their applications in financial optimization |
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| Authors: | Masaaki Kijima Masamitsu Ohnishi |
| Institution: | (1) Faculty of Economics, Tokyo Metropolitan University, 1-1 Minami-Ohsawa, Hachiohji, Tokyo 192-0397, Japan (e-mail: kijima@bcomp.metro-u.ac.jp), JP;(2) Graduate School of Economics, Osaka University, 1-7 Machikaneyama-machi, Toyonaka, Osaka 560-0043, Japan (e-mail: ohnishi@econ.osaka-u.ac.jp), JP |
| Abstract: | Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift effect problems in portfolio selection. Some other examples, which are not related directly to optimization problems, are also given to demonstrate the wide spectrum of application areas of stochastic orders in finance. |
| Keywords: | : Portfolio selection demand problem shift effect problem bivariate characterization risk aversion generalized harmonic mean equilibrium price Markov chain |
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