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Author : 蔡安玫
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Revisiting Almost Marginal Conditional Stochastic Dominance written by 蔡安玫 and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haim Shalit
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (214 download)
Download or read book Marginal Conditional Stochastic Dominance written by Haim Shalit and published by . This book was released on 1990 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : K. Victor Chow
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance written by K. Victor Chow and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple statistical test is developed for marginal conditional stochastic dominance (MCSD). The MCSD is an extension of second degree stochastic dominance. As such, without specification of the return-generating process, it can rank securities according to marginal changes of return distributions conditionally to the distribution of the market proxy, thereby, proving a powerful technique for measuring portfolio performance. Although the MCSD test is asymptotic and conservative, under both the hypotheses of homoscedasticity and heteroscedasticity, it has power to detect the dominance alternative for samples with more than 300 observations. For an illustration, the MCSD test is applied to international equity markets. The test is able to show that nine of twenty-eight equity markets are dominated by the world market.
Author : Haim Shalit
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (64 download)
Download or read book Beating the S & P 500 written by Haim Shalit and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gleb Gertsman
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimizing Marginal Conditional Stochastic Dominance Portfolios written by Gleb Gertsman and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Marginal Conditional Stochastic Dominance (MCSD) states the probabilistic conditions under which, given a specific portfolio, one risky asset is marginally preferred to another by all risk-averse investors. Furthermore, by increasing the share of dominating assets and reducing the share of dominated assets one can improve the portfolio performance for all these investors. We use this standard MCSD model sequentially to build optimal portfolios that are then compared to the optimal portfolios obtained from Chow's MCSD statistical test model. These portfolios are furthermore compared to the portfolios obtained from the recently developed Almost Marginal Conditional Stochastic Dominance (AMCSD) model. The AMCSD model restricts the class of risk-averse investors by not including extreme case utility functions and reducing the incidence of unrealistic behavior under uncertainty. For each model, an algorithm is developed to manage the various dynamic portfolios traded on the New York, Frankfurt, London, and Tel Aviv stock exchanges during the years 2000-2012. The results show how the various MCSD optimal portfolios provide valid investment alternatives to stochastic dominance optimization.MCSD and AMCSD investment models dramatically improve the initial portfolios and accumulate higher returns while the strategy derived from Chow's statistical test performed poorly and did not yield any positive return.
Author : Haim Shalit
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (64 download)
Download or read book Beating the S&P 500 written by Haim Shalit and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edna Schechtman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing Hypotheses About Absolute Concentration Curves and Marginal Conditional Stochastic Dominance written by Edna Schechtman and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider statistical tests concerning various relationships between two absolute concentration curves (ACC). In particular, we consider tests for determining if the two ACC's coincide, one is above another in a specified order, or do not intersect without specifying which one is above/below the other one. These problems are of interest in the context of marginal conditional stochastic dominance (MCSD).Constructing statistical tests for the MCSD rely on ideas as well as on their modifications developed by Whang, Linton and Maasoumi (2005) in the context of stochastic dominance for distribution functions. Our theoretical considerations are supplemented with a simulation study.
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 : Haim Levy
Publisher : Springer
ISBN 13 : 3319217089
Total Pages : 517 pages
Book Rating : 4.3/5 (192 download)
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)
Author : Wei-Han Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Conditional Stochastic Dominance written by Wei-Han Liu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We highlight the loss-averse property of general investors and propose a new ranking criterion, conditional stochastic dominance (CSD), at the first two orders. We discuss the definitions and propositions. We also introduce an example to show that CSD provides intuitive ranking but not the almost stochastic dominance (ASD) Leshno and Levy (2002) suggested. Furthermore, we select six representative covered call strategy indexes and the Standard & Poor's 500 aggregate market index functions as the benchmark for empirical analysis. The estimation outcomes indicate that CSD outperforms ASD in providing a refined picture of the performance comparisons and showing the specific properties of covered call strategy indexes.
Author : Jesus Gonzalo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Conditional Stochastic Dominance Tests in Dynamic Settings written by Jesus Gonzalo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Miguel A. Delgado
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Conditional Stochastic Dominance Testing written by Miguel A. Delgado and published by . This book was released on 2011 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 : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108472796
Total Pages : 279 pages
Book Rating : 4.1/5 (84 download)
Download or read book Econometric Analysis of Stochastic Dominance written by Yoon-Jae Whang and published by Cambridge University Press. This book was released on 2019-01-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive analysis of stochastic dominance through coverage of concepts, methods of estimation, inferential tools, and applications.
Author : Lars Thorlund-Petersen
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (753 download)
Download or read book Third-degree Stochastic Dominance and Axioms for a Convex Marginal Utility Function written by Lars Thorlund-Petersen and published by . This book was released on 1989 with total page 50 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 : Andrey M. Lizyayev
Publisher : Rozenberg Publishers
ISBN 13 : 9036101875
Total Pages : 136 pages
Book Rating : 4.0/5 (361 download)
Download or read book Stochastic dominance in portfolio analysis and asset pricing written by Andrey M. Lizyayev and published by Rozenberg Publishers. This book was released on 2010 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
