Results 11 to 20 of about 6,026 (230)
Multivariate Almost Stochastic Dominance: Transfer Characterizations and Sufficient Conditions Under Dependence Uncertainty [PDF]
Operations Research, 2023 Decision with Several Objectives Under Uncertainty Important decisions typically involve multiple objectives and uncertainty. Assessing both multivariate utility and multivariate distributions for the attributes can be challenging. Moreover, big decisions are usually made by boards or committees with members holding divergent views and preferences ...
Alfred Müller +3 more
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A Note on Almost Stochastic Dominance and Generalized Almost Stochastic Dominance
SSRN Electronic Journal, 2014 Abstract 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 ASD (GASD).
Xu Guo, Wing‐Keung Wong, Lixing Zhu
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Socially Responsible Investing Portfolio: An Almost Stochastic Dominance Approach
International Journal of Finance & Economics, 2018 AbstractThis study investigates whether socially responsible investing (SRI) portfolio performs better than the market indexes using the utility‐based nonparametric approach. The results from realized return distribution show that SRI portfolio outperforms the market indexes in term of almost stochastic dominance. The outperformance of SRI portfolio is
K. Trung
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Almost Stochastic Dominance: Magnitude Constraints on Risk Aversion
Insurance: Mathematics and Economics, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liqun Liu, Jack Meyer
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Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles [PDF]
Management Science, 2020 Knowing how small a violation of stochastic dominance rules would be accepted by most individuals is a prerequisite to applying almost stochastic dominance criteria. Unlike previous laboratory-experimental studies, this paper estimates an acceptable violation of stochastic dominance rules with 939,690 real world data observations on a choice of ...
Yi-Chieh Huang +3 more
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Almost Marginal Conditional Stochastic Dominance [PDF]
Journal of Banking & Finance, 2012 Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions under which most (and not all) risk-averse investors behave ...
Michel Denuit +2 more
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SSRN Electronic Journal, 2008 Textbooks on financial management have emphasized the shortcomings of the payback criterion for decades. However, empirical evidence suggests that in actual capital budgeting procedures the payback method is used quite regularly. Mostly, it is implemented supplementary to net present value or internal rate of return, but small companies tend to rely on
Hermann Jahnke, Dirk Simons
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Almost Stochastic Dominance: A Penchant for Risk
SSRN Electronic Journal, 2008 This paper shows that the Almost Stochastic Dominance (ASD) decision rule overlooks the effect of leverage on the variance of portfolio returns. If a portfolio dominates another by ASD then that portfolio bought with any amount of leverage will also be dominant by ASD.
Matthew Brigida
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Critical Values for Almost Stochastic Dominance based on Relative Risk Aversion
SSRN Electronic Journal, 2015 We derive critical values for the violation area in Nth order Almost Stochastic Dominance based on the Nth degree coefficient of relative risk aversion of reasonable utility functions. Our critical values are consistent with existing experimental estimates but apply for a broader range of choice problems by accounting for prior information about risk ...
Thierry Post
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Almost Stochastic Dominance and Moments [PDF]
, 2013 This paper first extends the theory of almost stochastic dominance (ASD) to the first four orders. We then establish some equivalent relationships for the first four orders of the ASD. Using these results, we prove formally that the ASD definition modified by Tzeng et al.\ (2012) does not possess any hierarchy property.
Xu Guo, Wing‐Keung Wong, Lixing Zhu
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