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Moment Conditions For Almost Stochastic Dominance
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Book Synopsis Moment Conditions for Almost Stochastic Dominance by : Xu Guo
Download or read book Moment Conditions for Almost Stochastic Dominance written by Xu Guo and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.
Book Synopsis Sufficient Conditions for Multivariate Almost Stochastic Dominance Under Dependence Uncertainty by : Alfred Müller
Download or read book Sufficient Conditions for Multivariate Almost Stochastic Dominance Under Dependence Uncertainty written by Alfred Müller and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Generalized Almost Stochastic Dominance by : Rachel J. Huang
Download or read book Generalized Almost Stochastic Dominance written by Rachel J. Huang and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. While the idea behind almost stochastic dominance is quite promising, it has not caught on in practice. Implementation issues and inconsistencies between integral conditions and their associated utility classes contribute to this situation. We develop generalized almost second-degree stochastic dominance and almost second-degree risk in terms of the appropriate utility classes and their corresponding integral conditions, and extend these concepts to higher degrees. We address implementation issues and show that generalized almost stochastic dominance inherits the appealing properties of stochastic dominance. Finally, we defiijne convex generalized almost stochastic dominance to deal with risk-loving preferences. Generalized almost stochastic dominance could be useful in decision analysis, in empirical research (e.g., in fiijnance), and in theoretical analyses of applied situations.
Book Synopsis Central Moments, Stochastic Dominance, and the Moment Rules by : Raymond Honfu Chan
Download or read book Central Moments, Stochastic Dominance, and the Moment Rules written by Raymond Honfu Chan and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we first develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of assets with different moments. Thereafter, we develop the moment rules for both risk averters and risk seekers and prove that under some conditions the moment rules for both risk averters and risk seekers are equivalent to the expected utility maximization for risk averters and risk seekers, respectively.
Book Synopsis Multivariate Stochastic Dominance and Moments by : George O'Brien
Download or read book Multivariate Stochastic Dominance and Moments written by George O'Brien and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd-1 for the (d-1) - dimensional marginals. Also some necessary conditions for ≥nd are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn (1980b) and O'Brien (1984) for univariate distributions.
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
Book Synopsis Revisiting Almost Marginal Conditional Stochastic Dominance by : 蔡安玫
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:
Book Synopsis Non-Emptyness of Stochastic Dominance Efficient Sets Via Stochastic Spanning by : Stelios Arvanitis
Download or read book Non-Emptyness of Stochastic Dominance Efficient Sets Via Stochastic Spanning written by Stelios Arvanitis and published by . This book was released on 2017 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type property. Under the appropriate framework sufficiency takes the form of semi-continuity of some related functional. In some cases this boils down to mild uniform moment existence conditions.
Book Synopsis Multivariate stochastic dominance and moments by : George L. O'Brien
Download or read book Multivariate stochastic dominance and moments written by George L. O'Brien and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Stochastic Dominance and Moments of Distributions by : Peter C. Fishburn
Download or read book Stochastic Dominance and Moments of Distributions written by Peter C. Fishburn and published by . This book was released on 1978 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Laplace Transform (PMS-6) by : David Vernon Widder
Download or read book Laplace Transform (PMS-6) written by David Vernon Widder and published by Princeton University Press. This book was released on 2015-12-08 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Book 6 in the Princeton Mathematical Series. Originally published in 1941. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Book Synopsis Sufficient Conditions for J'th Order Stochastic Dominance for Discrete Cardinal Variables, and Their Formulae by : Gordon Anderson
Download or read book Sufficient Conditions for J'th Order Stochastic Dominance for Discrete Cardinal Variables, and Their Formulae written by Gordon Anderson and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Necessary and Sufficient Conditions for Stochastic Dominance by : R. Kaas
Download or read book Necessary and Sufficient Conditions for Stochastic Dominance written by R. Kaas and published by . This book was released on 1985 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Almost Prospect and Markowitz Stochastic Dominance by : Raymond Honfu Chan
Download or read book Almost Prospect and Markowitz Stochastic Dominance written by Raymond Honfu Chan and published by . This book was released on 2018 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt: Levy and Wiener (1998), L ...
Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
