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Almost Stochastic Dominance For Risk Averters And Risk Seekers
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Book Synopsis Almost Stochastic Dominance for Risk Averters and Risk Seekers by : Xu Guo
Download or read book Almost Stochastic Dominance for Risk Averters and Risk Seekers written by Xu Guo and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.
Book Synopsis Stochastic Dominance and Applications to Finance, Risk and Economics by : Songsak Sriboonchita
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Book Synopsis Almost Stochastic Dominance by : Matthew Brigida
Download or read book Almost Stochastic Dominance written by Matthew Brigida and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that the Almost Stochastic Dominance (ASD) decision rule overlooks the effect of leverage on the variance of portfolio returns. If a portfolio dominates another by ASD then that portfolio bought with any amount of leverage will also be dominant by ASD. Therefore, there is no limit to the risk that a portfolio may have and still be dominant. The effect of leverage on returns is particularly important as new Exchange Traded Funds offer returns on an index which are enhanced by leverage. ASD cannot distinguish between index returns which are and are not enhanced by leverage, and therefore the decision rule could lead financial planners using ASD to recommend far too risky investments.
Book Synopsis Stochastic Dominance, Increasing Risk and Risk Aversion by : Jack Meyer
Download or read book Stochastic Dominance, Increasing Risk and Risk Aversion written by Jack Meyer and published by . This book was released on 1974 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance Test for Risk Seekers by : Hooi Hooi Lean
Download or read book Stochastic Dominance Test for Risk Seekers written by Hooi Hooi Lean and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops the stochastic dominance (SD) tests for risk seekers. We find both MV criterion and CAPM measures unable to draw any conclusive preference between the returns but our SD results show that spot dominates futures in the downside risk while futures dominate spot in the upside profit. It also shows that the risk-averse investors prefer investing in spot index while risk seekers are attracted to futures index to maximize their utility. In addition, our SD results enable us to conclude that there is no arbitrage opportunity between these two prices and fail to reject market efficiency and market rationality.
Book Synopsis New Development on the Third Order Stochastic Dominance for Risk-averse and Risk-seeking Investors with Application in Risk Management by : Raymond H. Chan
Download or read book New Development on the Third Order Stochastic Dominance for Risk-averse and Risk-seeking Investors with Application in Risk Management written by Raymond H. Chan and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance by : G. A. Whitmore
Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.
Book Synopsis Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications by : Wing-Keung Wong
Download or read book Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications written by Wing-Keung Wong and published by MDPI. This book was released on 2020-12-15 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
Book Synopsis Stochastic dominance and absolute risk aversion[ by : Jordi Caballé
Download or read book Stochastic dominance and absolute risk aversion[ written by Jordi Caballé and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance and Applications to Finance, Risk and Economics by : Songsak Sriboonchitta
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchitta and published by . This book was released on 2009* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Preferences of Omega Ratio for Risk Averters and Risk Seekers by : Xu Guo
Download or read book The Preferences of Omega Ratio for Risk Averters and Risk Seekers written by Xu Guo and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that under some conditions, the mean-variance rule is equivalent to stochastic dominance rule. Some academics hypothesize that there could exist mean-Omega ratio rule that could be equivalent to stochastic dominance rule under certain conditions. To explore this possible, in this paper, we aim to establish the necessary conditions between Omega ratio and stochastic dominance that leads to the preferences of risk averters/seekers. We find that it is possible to establish the necessary conditions between and Omega ratio and the preferences of risk averters/seekers under the condition that the variables being compared belong to the location-scale family or the same linear combination of location-scale families.
Book Synopsis Risk Aversion, Stochastic Dominance, and Rules of Thumb by : Vivek H. Dehejia
Download or read book Risk Aversion, Stochastic Dominance, and Rules of Thumb written by Vivek H. Dehejia and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Publications in Economics and Business by : Wing-Keung Wong
Download or read book International Publications in Economics and Business written by Wing-Keung Wong and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we discuss how to get good papers done in Economics, Business, and others and get them published in good journals. We first discuss how to get good theoretical papers done in Economics and Business, including the cost of capital, investors' behavioral models by using the cost of capital and conservative and representative heuristics, different types of utility functions and stochastic dominance, behaviors of risk averters and risk seekers, behaviors of investors with S-shaped and reversed S-shaped utility functions, almost stochastic dominance for risk averters and risk seekers, indifference curves, diversification, the mean-variance rule for risk averters and risk seekers, VaR and CVaR, Omega ratio, and first- and higher-order risk measures. We then discuss how to get good statistic and econometric papers done in Economics and Business, including investors' behavioral models by using cost of capital and conservative and representative heuristics, portfolio optimization, stochastic dominance, risk measures, unit root test, variance ratio test, and nonlinear causality and nonlinearity. We also discuss how to use programming and simulation to get good papers done in Economics, Business, and others and get them published in good journals. Thereafter, we will discuss the applications of the theoretical and econometric theories on some interesting issues, including robust estimation, behaviors of different types of investors, behaviors of risk averters and risk seekers, behaviors of investors with S-shaped and reversed S-shaped utility functions, diversification, stock and futures, financial crises, gold, housing, income inequality, asset management, cointegration, causality, and related models.
Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2013-02-16 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed by Markowitz on the foundation of von-Neumann and Morgenstem's expected utility or simply on the assumption of a utility function based on mean and variance. c) The non-expected utility approach, focusing on prospect theory and its modi fied version, cumulative prospect theory. This theory is based on an experi mental finding that subjects participating in laboratory experiments often violate expected utility maximization: They tend to use · subjective probability beliefs that differ systematically from the objective probabilities and to base their decisions on changes in wealth rather than on total wealth. The above approaches are discussed and compared in this book. W e also discuss cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. We then discuss the relationship between stochastic dominance rules and prospect theory, and establish a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm.
Book Synopsis Stochastic dominance and comparative risk aversion by : Tapan Biswas
Download or read book Stochastic dominance and comparative risk aversion written by Tapan Biswas and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Aversion and Stochastic Dominance in the "discrete Result Set" Case by : Anil Arya
Download or read book Risk Aversion and Stochastic Dominance in the "discrete Result Set" Case written by Anil Arya and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
