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Author : Gregory J. Stock
Publisher :
ISBN 13 :
Total Pages : 378 pages
Book Rating : 4.:/5 (862 download)
Download or read book Comparative Study of Mean-risk Tests for Stochastic Dominance written by Gregory J. Stock and published by . This book was released on 2007 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tapan Biswas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (53 download)
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:
Author : Songsak Sriboonchita
Publisher : CRC Press
ISBN 13 : 9781420082678
Total Pages : 455 pages
Book Rating : 4.0/5 (826 download)
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
Author : Thomas O. Meyer
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Comparing Mean Variance Tests with Stochastic Dominance When Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dominance has been shown to be theoretically superior to mean variance (MV) analysis because it considers the entire return distribution and is based on minimally-restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally-based assets to a wholly-domestic portfolio generates diversification benefits. In contrast to previous MV findings, a New Zealand-only portfolio stochastically dominates four internationally-diversified portfolios across all periods considered. Similarly, the least internationally-diversified portfolio persistently dominates more diversified counterparts. Within-portfolio analysis supports the fundamental precept of finance theory showing that in the Asian Crisis period, the least risky/lowest return weighting schemes dominate those with a greater risk or higher return characteristic.
Author : Jan Heufer
Publisher :
ISBN 13 : 9783867883351
Total Pages : 33 pages
Book Rating : 4.8/5 (833 download)
Download or read book Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion written by Jan Heufer and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. A. Whitmore
Publisher :
ISBN 13 :
Total Pages : 424 pages
Book Rating : 4.F/5 ( download)
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.
Author : Haim Levy
Publisher : Springer Science & Business Media
ISBN 13 : 0387293116
Total Pages : 439 pages
Book Rating : 4.3/5 (872 download)
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.
Author : Tiantian Mao
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Critical Comparison of Three Notions of Fractional Stochastic Dominance written by Tiantian Mao and published by . This book was released on 2020 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two notions of fractional stochastic dominance are recently proposed by Muller et al. (2017) and Huang et al. (2020), respectively. Our main objective is to understand the comparative advantages of the two notions, as well as their suitability in different contexts, by establishing several new technical results. For a more comprehensive comparison, we further include a third natural notion of fractional stochastic dominance based on the coefficient of relative risk aversion. Among the three notions, it turns out that one can be seen as a logarithmic version of second-order stochastic dominance (SSD), another one can be seen as a power version of SSD, whereas there does not exist a transformation to associate the last one with SSD. We find that these notions of fractional stochastic dominance are naturally connected to five classes of risk measures, including Value-at-Risk, Expected Shortfall, expectiles, entropic risk measures, and loss certainty equivalents. The three notions are further characterized in the contexts of the rank-dependent utility model and the cumulative prospect theory. We make some recommendations on which notion to use in specific situations, as they all have their own merits.
Author : Haim Levy
Publisher : Springer Science & Business Media
ISBN 13 : 1475728409
Total Pages : 384 pages
Book Rating : 4.4/5 (757 download)
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 384 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 ยท 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.
Author : Markku Kallio
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Extensions on Stochastic Dominance Efficiency Tests written by Markku Kallio and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions. Their relevance in practice arises from empirical evidence on individual preferences fitting to preference models underlying such stochastic dominance relations. Assuming a known, discrete and finite probability distribution we derive necessary and sufficient efficiency tests under the six types of stochastic dominance. Simple arguments yield well-known SSD and TSD efficiency tests which are subsequently used to develop new FOSD, FISD, DSD and ESD efficiency tests. We provide numerical demonstration using stock market data of the US.
Author : Majid Ezzati
Publisher : World Health Organization
ISBN 13 : 9241580313
Total Pages : 2282 pages
Book Rating : 4.2/5 (415 download)
Download or read book Comparative Quantification of Health Risks: Sexual and reproductive health written by Majid Ezzati and published by World Health Organization. This book was released on 2004 with total page 2282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive assessment of the scientific evidence on prevalence and the resulting health effects of a range of exposures that are know to be hazardous to human health, including childhood and maternal undernutrition, nutritional and physiological risk factors for adult health, addictive substances, sexual and reproductive health risks, and risks in the physical environments of households and communities, as well as among workers. This book is the culmination of over four years of scientific equiry and data collection, know as the comparative risk assessment (CRA) project.
Author : Kazimiers Zaras
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (299 download)
Download or read book Stochastic Dominance in Multicriterion Analysis Under Risk written by Kazimiers Zaras and published by . This book was released on 1995 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stylianos Perrakis
Publisher : Faculty of Management Sciences, University of Ottawa
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (541 download)
Download or read book A Note on the Comparison of Stochastic Dominance and Mean-variance Portfolio Choice Criteria written by Stylianos Perrakis and published by Faculty of Management Sciences, University of Ottawa. This book was released on 1975 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Songsak Sriboonchitta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (779 download)
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:
Author : R. Burr Porter
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (254 download)
Download or read book A Comprehensive Empirical Comparison of Stochastic Dominance and Mean-variance Portfolio Models written by R. Burr Porter and published by . This book was released on 1971 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David L. Banks
Publisher : CRC Press
ISBN 13 : 1498712401
Total Pages : 220 pages
Book Rating : 4.4/5 (987 download)
Download or read book Adversarial Risk Analysis written by David L. Banks and published by CRC Press. This book was released on 2015-06-30 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the 2017 De Groot Prize awarded by the International Society for Bayesian Analysis (ISBA)A relatively new area of research, adversarial risk analysis (ARA) informs decision making when there are intelligent opponents and uncertain outcomes. Adversarial Risk Analysis develops methods for allocating defensive or offensive resources against
Author : Hooi Hooi Lean
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Size and Power of Some Stochastic Dominance Tests written by Hooi Hooi Lean and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for stochastic dominance between distributions is an important issue in the study of asset distribution, income distribution and market efficiency. This paper applies Monte Carlo simulations to examine the size and power of some commonly used stochastic dominance tests when the underlying distributions are correlated, and either homoskedastic or heteroskedastic. Our Monte Carlo study shows that the test suggested by Davidson and Duclos (2000) has a better size- and power-performance than two alternative tests developed by Kaur, Rao and Singh (1994) and Anderson (1996). In addition, when the underlying distributions are heteroskedastic, both the size and power of test developed by Davidson and Duclos (2000) are still superior to those of the two alternative tests.
