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arXiv · 2502.17043

StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance

Rajmadan Lakshmanan·Alois Pichler
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Abstract

Stochastic dominance is a fundamental concept in decision-making under uncertainty and quantitative finance, yet its practical application is hindered by computational intractability due to infinitely many constraints. We introduce the Julia package StochasticDominance, an open-source tool that efficiently verifies and optimizes under higher-order stochastic dominance constraints. Our approach builds on recent theoretical advancements that reduce infinite constraints to a finite number, making higher-order stochastic dominance more accessible. This package provides a user-friendly, black-box solution, enabling researchers and practitioners to incorporate stochastic dominance constraints seamlessly into their optimization frameworks.

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BibTeXRIS

Rajmadan Lakshmanan, Alois Pichler. 2025-02-24. StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance. https://arxiv.org/abs/2502.17043

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