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.
Similar content being viewed by others
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Kijima, M., Ohnishi, M. Stochastic orders and their applications in financial optimization. Mathematical Methods of OR 50, 351–372 (1999). https://doi.org/10.1007/s001860050102
Issue Date:
DOI: https://doi.org/10.1007/s001860050102