• 한국경영과학회지
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• 제34권4호
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• pp.153-163
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• 2009

Unlike the mean-variance approach, the stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmark portfolio such as KOSPI. This study is to search a set of portfolio weights for the first-order stochastic dominance with maximum expected return by managing the constraint set and the objective function separately. A nonlinear programming algorithm was developed and tested with promising results against Korean stock market data sets.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2007년도 추계학술대회 및 정기총회
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• pp.134-137
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• 2007

Unlike the mean-variance approach, the stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmark portfolio such as KOSPI. This study is to search a set of portfolio weights for the first degree stochastic dominance with maximum expected return by managing the constraint set and the objective function separately. An algorithm was developed and tested with promising results against Korean stock market data sets.

• 한국경영과학회지
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• 제28권1호
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• pp.25-36
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• 2003

Unlike the mean-variance approach, the stochastic dominance approach Is to form a portfolio that first-degree stochastically dominates a predetermined benchmark portfolio, e.g. KOSPI. Analytically defining the first derivative of the objective function, an optimal algorithm of nonlinear programming was developed to search a set of optimal weights systematically and tested with promising results against veal data sets from Korean stock market.

• 한국경영과학회지
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• 제39권1호
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• pp.113-127
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• 2014

The stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmark portfolio such as KOSPI. This study is to search a set of portfolio weights for the first-order stochastic dominance with maximum utility defined in terms of mean and variance by managing the constraint set and the objective function in an iterative manner. A nonlinear programming algorithm was developed and tested with promising results against Korean stock market data sets.

• 한국경영과학회지
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• 제18권2호
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• pp.45-55
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• 1993

In multiattribute decision making a decision maker (DM) can choose the best alternative if his/her multiattribute utility function and the joint probability distribution of outcomes are exactly known. This paper develops multiattribute stochastic-statistical dominance rules which can be applied to the situation when neither of them is known exactly, that is, when the DM cannot calculate the expected utility for each alternative. First, the notion of relative risk aversion is used dominance rules are developed to screen out dominated alternatives so that hi/she choose the best one among the remaining nondominated alternatives.

• 대한산업공학회지
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• 제15권2호
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• pp.33-44
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• 1989

This paper presents stochastic-statistical dominance rules which eliminate dominated alternatives thereby reduce the number of satisficing alternatives to a manageable size so that the decision maker can choose the best alternative among them when neither the utility function nor the probability distribution of outcomes is exactly known. Specifically, it is assumed that only the characteristics of the utility function and the value function are known. Also, it is assumed that prior probabilities of the mutually exclusive states of nature are not known, but their relative bounds are known. First, the notion of relative risk aversion is used to describe the decision maker's attitude toward risk, which is defined with the acknowledgement that the utility function of the decision maker is a composite function of a cardinal value function and a utility function with-respect to the value function. Then, stochastic-statistical dominance rules are developed to screen out dominated alternatives according to the decision maker's attitude toward risk represented in the form of the measure of relative risk aversion.

• 산업공학
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• 제6권2호
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• pp.151-169
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• 1993

In this research, we proposed "coefficient of inequality" as a measure of distributional inequality for an alternative, which is defined as the area between the diagonal line from 0 to 1 and the Lorenz curve of the given alternative. Next, we showed theoretical relationship between stochastic dominance and the coefficient of inequality as a means to determine the preferred alternative when decision is made with incomplete information about decision maker's utility function. Then, two experiments were performed to test subject‘s attitude toward risk. The results of the experiments support the idea that when a decision maker is risk averse or risk prone, he/she can use the coefficient of inequality as a decision rule to choose the preferred alternative instead of using stochastic dominance. Thus, according to decision maker’s attitude toward risk, the decision rule proposed here can be used as a valuable aid in decision making under uncertainty with incomplete information.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제16권1호
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• pp.121-131
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• 2009

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 2002년도 춘계공동학술대회
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• pp.851-858
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• 2002

본 연구는 주식시장에서 투자종목을 선택할 때에 주로 사용되고 있는 '평균-분산(Mean-Variance)접근방법'과는 달리, '확률적 지배(stochastic dominance)'의 개념을 적용하여 포트폴리오를 구성하는 방법을 연구하였다. 즉, 기준이 되는 확률분포 (KOSPI)를 1차 확률적으로 지배하는 포트폴리오를 구성하는 최적가중치를 체계적으로 탐색하는 방법을 모색하였다. 최적화 과정에서 고려해야 하는 함수의 모양과 볼록성 여부를 알아보았고, 일차도함수를 분석적으로 구해서 도함수기법을 이용하는 알고리즘을 개발하여 그 효율성을 시험해 보았다.

• Journal of the Korean Data and Information Science Society
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• 제1권
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• pp.78-78
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• 1990