Papers › StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance
StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance
Rajmadan Lakshmanan, Alois Pichler
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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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