Higher Order Stochastic Dominance and Aggregate Investor Preferences

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ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Higher Order Stochastic Dominance and Aggregate Investor Preferences by : Yi Fang

Download or read book Higher Order Stochastic Dominance and Aggregate Investor Preferences written by Yi Fang and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds necessary and sufficient conditions of Nth-order stochastic dominance (SD) for risk aversion and develops linear tests for Nth-order SD. We introduce a linear FDSD (fourth-order SD and decreasing absolute risk aversion SD) test for standard risk aversion. A positive research shows that higher order risk attitude cannot explain pricing errors of the small size and high value benchmark portfolios. The empirical results also suggests that any Nth-order SD criterion might not be superior to MV rule when the MV kernel does not violate non-satiation. FDSD has the best discriminate power and substantially improves the pricing kernel.

Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences

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ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences by : Thierry Post

Download or read book Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences written by Thierry Post and published by . This book was released on 2012 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on market capitalization, book-to-market equity ratio and momentum. We use various existing and novel stochastic dominance criteria that account for the possibility that investors exhibit local risk seeking behavior. Our results suggest that Markowitz type utility functions, with risk aversion for losses and risk seeking for gains, can capture the cross-sectional pattern of stock returns. The low average yield on big caps, growth stocks and past losers may reflect investors' twin desire for downside protection in bear markets and upside potential in bull markets.

Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs by : Thierry Post

Download or read book Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs written by Thierry Post and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use various stochastic dominance criteria that account for (local) risk seeking to analyze market portfolio efficiency relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and price momentum. Our results suggest that reverse S-shaped utility functions with risk aversion for losses and risk seeking for gains can explain stock returns. The results are also consistent with a reverse S-shaped pattern of subjective probability transformation. The low average yield on big caps, growth stocks, and past losers may reflect investors` twin desire for downside protection in bear markets and upside potential in bull markets.

Does Risk Seeking Drive Asset Prices?

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ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (248 download)

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Book Synopsis Does Risk Seeking Drive Asset Prices? by : Gerrit Tjeerd Post

Download or read book Does Risk Seeking Drive Asset Prices? written by Gerrit Tjeerd Post and published by . This book was released on 2002 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Dominance

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Publisher : Springer
ISBN 13 : 3319217089
Total Pages : 517 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Stochastic Dominance by : Haim Levy

Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2015-10-31 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. From the reviews of the second edition: "This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)

Stochastic Dominance and Investor Preference for Skewness

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ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (278 download)

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Book Synopsis Stochastic Dominance and Investor Preference for Skewness by : Stephen S. Everhart

Download or read book Stochastic Dominance and Investor Preference for Skewness written by Stephen S. Everhart and published by . This book was released on 1991 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Dominance

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Publisher : Springer Science & Business Media
ISBN 13 : 0387293116
Total Pages : 439 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Stochastic Dominance by : Haim Levy

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.

Gains from Diversification

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ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Gains from Diversification by : Martin Egozcue

Download or read book Gains from Diversification written by Martin Egozcue and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combinations of assets that characterize a portfolio to give higher expected utility by second-order stochastic dominance. Our findings also provide additional methodology for determining the second-order stochastic dominance efficient set.

Issues in Finance, Business, and Economics Research: 2013 Edition

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Publisher : ScholarlyEditions
ISBN 13 : 1490106804
Total Pages : 241 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis Issues in Finance, Business, and Economics Research: 2013 Edition by :

Download or read book Issues in Finance, Business, and Economics Research: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Finance, Business, and Economics Research: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Additional Research. The editors have built Issues in Finance, Business, and Economics Research: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Additional Research in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Finance, Business, and Economics Research: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Advances in the use of stochastic dominance in asset pricing

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Publisher : Rozenberg Publishers
ISBN 13 : 9051709358
Total Pages : 128 pages
Book Rating : 4.0/5 (517 download)

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Book Synopsis Advances in the use of stochastic dominance in asset pricing by : Philippe Johannes Petrus Marie Versijp

Download or read book Advances in the use of stochastic dominance in asset pricing written by Philippe Johannes Petrus Marie Versijp and published by Rozenberg Publishers. This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Theory of Financial Decision Making

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Publisher : Rowman & Littlefield
ISBN 13 : 9780847673599
Total Pages : 506 pages
Book Rating : 4.6/5 (735 download)

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Book Synopsis Theory of Financial Decision Making by : Jonathan E. Ingersoll

Download or read book Theory of Financial Decision Making written by Jonathan E. Ingersoll and published by Rowman & Littlefield. This book was released on 1987 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.

Stochastic Dominance and Omega Ratio

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ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Stochastic Dominance and Omega Ratio by : Xu Guo

Download or read book Stochastic Dominance and Omega Ratio written by Xu Guo and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both stochastic dominance and Omega ratio can be used to examine whether market is efficient, whether there is any arbitrage opportunity in the market, and whether there is any anomaly in the market. In this paper, we first study relationship between stochastic dominance and Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega-ratio dominance insofar that the Omega ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the preference of second-order SD implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher-return asset. On the other hand, the preference of the second-order RSD implies the preference of the corresponding Omega ratios only when the return threshold is larger than the mean of the smaller-return asset. Nonetheless, first-order SD does imply Omega-ratio dominance. Thereafter, we apply the theory developed in this paper to examine the relationship between property size and property investment in the Hong Kong real estate market. We conclude that the Hong Kong real estate market is not efficient and there are expected arbitrage opportunity and anomaly in the Hong Kong real estate market. Our findings are useful for investors and policy makers in real estate.

Intermediate Financial Theory

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Publisher : Elsevier
ISBN 13 : 0080509029
Total Pages : 391 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Intermediate Financial Theory by : Jean-Pierre Danthine

Download or read book Intermediate Financial Theory written by Jean-Pierre Danthine and published by Elsevier. This book was released on 2005-07-25 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467. The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. "This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts.... many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts Focuses on clear explanations of key concepts and requires limited mathematical prerequisites Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor

A Note on Stochastic Dominance and the Omega Ratio

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ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Note on Stochastic Dominance and the Omega Ratio by : Xu Guo

Download or read book A Note on Stochastic Dominance and the Omega Ratio written by Xu Guo and published by . This book was released on 2016 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We first show that second-order stochastic dominance (SSD) and/or second-order risk-seeking stochastic dominance (SRSD) alone for any two prospects is not sufficient to imply the Omega ratio of one asset is always greater than that of the other one. We then extend the theory of risk measures by proving that the preference of second-order stochastic dominance implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher-return asset. On the other hand, the preference of second-order risk-seeking stochastic dominance implies the preference of the corresponding Omega ratios only when the return threshold is bigger than the mean of the smaller-return asset. Nonetheless, the preference of first-order stochastic dominance does imply the preference of the corresponding Omega ratios for any return threshold.

The Complete Guide to Portfolio Performance

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Publisher : John Wiley & Sons
ISBN 13 : 1119930197
Total Pages : 1095 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis The Complete Guide to Portfolio Performance by : Pascal François

Download or read book The Complete Guide to Portfolio Performance written by Pascal François and published by John Wiley & Sons. This book was released on 2024-04-23 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.

New Development on the Third Order Stochastic Dominance for Risk-averse and Risk-seeking Investors with Application in Risk Management

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)

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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:

Prospect and Markowitz Stochastic Dominance

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ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (254 download)

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Book Synopsis Prospect and Markowitz Stochastic Dominance by : Wing-Keung Wong

Download or read book Prospect and Markowitz Stochastic Dominance written by Wing-Keung Wong and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: