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stochastic dominance

Farinelli and Tibiletti ratio and Stochastic Dominance

Farinelli and Tibiletti ratio and Stochastic Dominance

... first-order stochastic dominance. Second-order stochastic dominance does not lead to F-T ratios with any nonnegative values p and q, but can lead to F-T dominance with any p < 1 and ...

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Higher Order Risk Measure and (Higher Order) Stochastic Dominance

Higher Order Risk Measure and (Higher Order) Stochastic Dominance

... and stochastic dominance (SD) and risk-seeking SD (RSD) by establishing several relationships between first- and higher- order risk measures and (higher-order) SD and ...

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On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors

... According to the von Neuman and Morgenstern (1944) expected utility theory, the func- tions for risk averters and risk seekers are concave and convex respectively, and both are increasing functions. In this context ...

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Stochastic dominance option bounds and Nth order arbitrage opportunities

Stochastic dominance option bounds and Nth order arbitrage opportunities

... 3) stochastic dominance (hereafter NSD) option bounds by using the observed prices of concurrently expiring op- ...order stochastic dominance option bounds are given by a pricing kernel whose ...

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Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance

Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance

... successfully generalized the notion of stochastic dominance. The results that follow differ from that of Meyer in several respects. First, all families of utility functions with prudence measures that are ...

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Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors

Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors

... domination relationship. Nonetheless, the almost SD rule developed by Leshno and Levy (2002) and Tzeng et al. (2012) could draw preference of A over B. However, though the almost SD rule developed by Leshno and Levy ...

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Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors

Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors

... seekers. Stochastic Dominance (SD) is first introduced in mathematics by Mann and Whitney (1947) and Lehmann ...the stochastic dominance rules for risk ...the stochastic ...

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On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors with Analysis of their Traditional and Internet Stocks

On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors with Analysis of their Traditional and Internet Stocks

... Third-order stochastic dominance (TSD) is becoming an important area of research in ...convex stochastic dominance relations based on decreasing absolute risk aversion (DARA) for discrete and ...

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Evaluation of the Added Value from Risk Diversification through AEC Capital Market Integration using Stochastic Dominance

Evaluation of the Added Value from Risk Diversification through AEC Capital Market Integration using Stochastic Dominance

... In order to examine the change in the diversification level and benefit, the data is divided into two groups. Each group contains 100 monthly returns from each stock market. Next, the six portfolios are built for the ...

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The choice theoretic characterizations of risk changes and risk attitudes in cumulative prospect theory:a stochastic dominance approach

The choice theoretic characterizations of risk changes and risk attitudes in cumulative prospect theory:a stochastic dominance approach

... Markowitz (1952b) proposes that decisions are based on change in wealth and individuals are risk averse for losses and risk seeking for gains as long as the possible outcomes are not very extreme, i.e., value functions ...

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A stochastic dominance approach to determining the optimal home size purchase: The case of Hong Kong

A stochastic dominance approach to determining the optimal home size purchase: The case of Hong Kong

... first-order stochastic dominance (FSD) of one investment prospect over another implies that regardless of one’s risk preferences, the dominant prospect is the preferred ...

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Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets

Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets

... This paper applies stochastic dominance (SD) tests to examine the dominance relationships between the futures and spot markets in Hong Kong. We also analyze the preferences for the risk averters, ...

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Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

... of Stochastic Dominance (SD)- constrained stochastic ...a stochastic programming problem with SSD constraints by generating appropriate scenarios for pool price and self-generation unit's ...

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The Stochastic Dominance Violation of Index Call Options in the Presence of Market Makers

The Stochastic Dominance Violation of Index Call Options in the Presence of Market Makers

... priced [1] [2] [3] [4]. Most debates have focused on expensive out-of-the-money (hereafter, OTM) put options [5] [6]. However, the stochastic dominance (he- reafter, SD) literature has documented that index ...

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First Stochastic Dominance and Risk Measurement

First Stochastic Dominance and Risk Measurement

... (2010) Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR, European Journal of Operational Research 207(2), ...

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On the Stochastic Dominance of Portfolio Insurance Strategies

On the Stochastic Dominance of Portfolio Insurance Strategies

... In the present paper, we have compared the CPPI and OBPI strategies, mainly with respect to the third stochas- tic dominance (TSD). We find that the CPPI method third order stochastically dominates the OBPI one ...

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Almost Stochastic Dominance and Efficient Investment Sets

Almost Stochastic Dominance and Efficient Investment Sets

... Almost Stochastic Dominance to develop a simple stochastic model that can explain the empirically observed power-law wealth ...Almost Stochastic Dominance to determine the minimal con- ...

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Multivariate Stochastic Dominance for Risk Averters and Risk Seekers

Multivariate Stochastic Dominance for Risk Averters and Risk Seekers

... univariate stochastic dominance results to multivari- ate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≥ 1 when the attributes are assumed ...

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Terrorist choice: a stochastic dominance and prospect theory analysis

Terrorist choice: a stochastic dominance and prospect theory analysis

... order stochastic dominance ...Within stochastic dominance these trigger points are associated with the intersection of the cumulative distributions for each ...clear dominance exists to ...

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The state of female autonomy in India: A stochastic dominance approach

The state of female autonomy in India: A stochastic dominance approach

... with stochastic dominance techniques for ordinal and dichoto- mous variables in order to document whether autonomy comparisons across Indian states are robust to broad classes of individual welfare ...

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