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Author : Eun-Soo Lee
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (35 download)
Download or read book Testing for Stochastic Dominance with Some Applications to Reliability written by Eun-Soo Lee and published by . This book was released on 1995 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Pinedo
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (227 download)
Download or read book Applications of Duality and Stochastic Dominance in Reliability Theory written by Michael Pinedo and published by . This book was released on 1982 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we discuss a notion which is the dual of the failure rate and is defined as f(t)/F(t). This concept has come up several times in the literature, but has never been investigated in detail. In this paper the name survival rate is used. We show that in many models of practical interest the survival rates of certain random variables have nice properties. This makes it possible to obtain bounds on the distribution functions of these random variables. Moreover, we show that a form of stochastic dominance based on the survival rates of the random variables has some interesting applications. (Author).
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 : Hendrik Kläver
Publisher :
ISBN 13 : 9783832249991
Total Pages : 183 pages
Book Rating : 4.2/5 (499 download)
Download or read book Tests of Stochastic Dominance for Time Series Data written by Hendrik Kläver and published by . This book was released on 2006 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoram Kroll
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.3/5 (555 download)
Download or read book Stochastic Dominance written by Yoram Kroll and published by . This book was released on 1979 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Russell Davidson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)
Download or read book Testing for Restricted Stochastic Dominance written by Russell Davidson and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Knight
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (933 download)
Download or read book Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality written by John Knight and published by . This book was released on 1999 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Post
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation (as well as other choice problems under uncertainty that involve diversification possibilities). An empirical application for US stock market data illustrates our approach.
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Testing for Stochastic Dominance written by Oliver B. Linton and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (248 download)
Download or read book Consistent Testing for Stochastic Dominance written by Oliver B. Linton and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Karl C. Mosler
Publisher :
ISBN 13 :
Total Pages : 396 pages
Book Rating : 4.3/5 (91 download)
Download or read book Stochastic Orders and Applications written by Karl C. Mosler and published by . This book was released on 1993 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ian Crawford
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (595 download)
Download or read book Nonparametric Tests of Stochastic Dominance in Byvariate Distributions, with an Application to UK Data written by Ian Crawford and published by . This book was released on 2000 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hooi Hooi Lean
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (837 download)
Download or read book Stochastic Dominance written by and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ian A. Crawford
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (142 download)
Download or read book Nonparametric Tests of Stochastic Dominance in Bivariate Distributions with an Application to UK Data written by Ian A. Crawford and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas B. Fomby
Publisher : Springer Science & Business Media
ISBN 13 : 1461389224
Total Pages : 233 pages
Book Rating : 4.4/5 (613 download)
Download or read book Studies in the Economics of Uncertainty written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
Author : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108690475
Total Pages : 279 pages
Book Rating : 4.1/5 (86 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: This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
