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Generalized Almost Stochastic Dominance
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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 Almost Stochastic Dominance for Risk Averters and Risk Seekers by : Xu Guo
Download or read book Almost Stochastic Dominance for Risk Averters and Risk Seekers written by Xu Guo and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.
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 January Effect in American Stock Market Using Almost and Generalized Stochastic Dominance by : 馮凱婷
Download or read book January Effect in American Stock Market Using Almost and Generalized Stochastic Dominance written by 馮凱婷 and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Stochastic Dominance by : G. A. Whitmore
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.
Book Synopsis Generalized Stochastic Dominance and Bad Outcome Aversion by : Hans Peters
Download or read book Generalized Stochastic Dominance and Bad Outcome Aversion written by Hans Peters and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Stochastic Dominance by : Yoram Kroll
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:
Book Synopsis Consistent Testing for Stochastic Dominance by : Oliver B. Linton
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.
Book Synopsis Generalized Stochastic Dominance and Unanimous Preferences by :
Download or read book Generalized Stochastic Dominance and Unanimous Preferences written by and published by . This book was released on 1998 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :University of Minnesota. Institute of Agriculture, Forestry and Home Economics Publisher : ISBN 13 : Total Pages :54 pages Book Rating :4.:/5 (893 download)
Book Synopsis User's Guide to Ordinary and Generalized Stochastic Dominance Computer Programs by : University of Minnesota. Institute of Agriculture, Forestry and Home Economics
Download or read book User's Guide to Ordinary and Generalized Stochastic Dominance Computer Programs written by University of Minnesota. Institute of Agriculture, Forestry and Home Economics and published by . This book was released on 1982 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic dominance written by and published by . This book was released on 1978 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Stochastic Dominance by : K. Victor Chow
Download or read book Testing for Stochastic Dominance written by K. Victor Chow and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis General Linear Formulations of Stochastic Dominance Criteria by : Thierry Post
Download or read book General Linear Formulations of Stochastic Dominance Criteria written by Thierry Post and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean-variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial violations of non-satiation and prudence.
