[PDF] Top 20 Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance
Has 10000 "Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance" found on our website. Below are the top 20 most common "Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance".
Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance
... analyzes increased risk aversion in the presence of two ...for increased risk aversion across the domain of the foreground risk are found for changes in both the ... See full document
54
Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance
... analyzes increased risk aversion in the presence of two ...for increased risk aversion across the domain of the foreground risk are found for changes in both the ... See full document
54
Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences
... Theory: risk seeking for losses and loss ...impose risk seeking for losses (PSD and PSDL) are rejected all sets of benchmark ...loss aversion (SSD, PSDL and ...loss aversion couldn’t reproduce ... See full document
40
Utility maximization, risk aversion, and stochastic dominance
... some stochastic factor ...the stochastic dominance relationship apparently cannot be read off the ...more general preferences and/or market models appears to be a challenging topic for ... See full document
13
Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
... (2006, 2007) and Wong and Ma (2008) show that, if the returns of two assets follow the same location-scale family, then an MV domination could infer preferences by risk averters on the dominant fund to the ... See full document
39
Investor preferences for oil spot and futures based on mean-variance and stochastic dominance
... The oil market is very sensitive, not only to news, but also to the expectation of news (Maslyuk and Smyth, 2008). For example, when the OPEC countries agreed to reduce the combined production of crude oil in 1999, oil ... See full document
33
Tuned risk aversion as interpretation of non-expected utility preferences
... Summarizing our point, it is obvious that two different complete preference or- derings may coexist in a rational way, and the Sure-Thing Principle overlooks that they can be intertwined without causing anomalies. The ... See full document
32
A general framework for pricing Asian options under stochastic volatility on parallel architectures
... where K > 0 and (·) + denotes the positive part function. The floating strike option is an important contract with a helpful structure in volatile or hardly predictable markets which justifies its high demand. Fixed ... See full document
31
Collusion under risk aversion and fixed costs
... a firm derives from a dollar of profit does not vary with the level of profit, and fixed operating costs are irrelevant for a firm’s decision-making (assuming that exit is not a strategic consid- eration). We depart from ... See full document
38
On the Third Order Stochastic Dominance for Risk Averse and Risk Seeking Investors
... In this paper, we develop some properties for the ASD and DSD theory We first discuss the basic property of ASD and DSD linking the ASD and DSD of the first three orders to expected-utility maximization for ... See full document
25
A Stochastic Dominance Approach to Financial Risk Management Strategies
... Analysing risk management, McAleer et ...penalties under the Basel ...same risk management strategy before, during and after the GFC leads to comparatively low daily capital charges and violation ... See full document
41
Essays on decision making under uncertainty : Stochastic dominance
... of inequality are mean-based and hence not well defined with ordinal data. Generally, one can either assume a cardinal variable underlying SRHS and then study latent inequality, or else redefine the concept of inequality ... See full document
103
Stochastic dominance for project screening and selection under uncertainty
... The problem with many of them though is that they come with assumptions on preferences of the decision-maker or the structure of the uncertainty present in the projects f[r] ... See full document
224
Stochastic dominance to account for uncertainty and risk in conservation decisions
... Within EUT the attitude of a rational decision maker can be represented by a utility function, 62.. which describes the satisfaction derived from different outcomes (Von Neumann and 63[r] ... See full document
20
Duopolistic Competition under Risk Aversion and Uncertainty
... a risk-neutral decision maker, and, as a result, the implications of risk aversion, which may be rel- evant for reasons of market incompleteness or the presence of undiversifiable risk, are not ... See full document
14
Risk preferences under heterogeneous environmental risk
... between risk preferences and risk is that preferences are formed by given risk conditions that individuals ...of risk preferences has been studied for a variety of ...and ... See full document
42
Asset-liability management modelling with risk control by stochastic dominance
... in risk management. One may follow the Markowitz risk-averse paradigm [26] and optimize the multiple objectives: maximize the return and minimize the associated risk, ...took risk management ... See full document
27
From stochastic dominance to mean-risk models: Semideviations as risk measures 1
... outcomes: stochastic dominance and mean-risk ...of risk-averse preferences but does not provide a convenient computational ...all risk-averse ...of risk, the resulting ... See full document
18
Preferences with changing ambiguity aversion
... averse preferences that display a monotonic pattern of changing ambiguity ...of preferences satisfying S-ambiguity aversion and some other basic ax- ...ambiguity aversion to capture this type ... See full document
67
Higher Order Risk Measure and (Higher Order) Stochastic Dominance
... second-order stochastic dominance implies the preference of the corresponding Omega ratios and the preference of third-order stochastic dominance implies the preference of the corresponding ... See full document
12
Related subjects