Results 211 to 220 of about 2,304,350 (248)

Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles

Management Science, 2021
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 ...
Kamhon Kan, Larry Tzeng, Yi-Chieh Huang   +2 more
exaly   +2 more sources

A Note on Almost Stochastic Dominance and Generalized Almost Stochastic Dominance [PDF]

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
core   +3 more sources

Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance

Management Science, 2002
While “most” decision makers may prefer one uncertain prospect over another, stochastic dominance rules as well as other investment criteria, will not reveal this preference due to some extreme utility functions in the case of even a very small violation of these rules.
Haim Levy, Moshe Leshno
exaly   +2 more sources

Revisiting almost marginal conditional stochastic dominance

The Quarterly Review of Economics and Finance, 2022
In this paper, we propose a new notion of the almost marginal conditional stochastic dominance rule by confining the ratio of marginal utility to exclude decision makers with extreme preferences.
Tzu-Ying Chen, An-Mei Tsai, Larry Y. Tzeng   +2 more
openaire   +2 more sources

Portfolio Optimization Based on Almost Second-Degree Stochastic Dominance

Management Science
In portfolio optimization, the computational complexity of implementing almost stochastic dominance has limited its practical applications. In this study, we introduce an optimization framework aimed at identifying the optimal portfolio that outperforms a specified benchmark under almost second-degree stochastic dominance (ASSD). Our approach involves
Piao Chen, Patrick Jaillet
exaly   +2 more sources

Stochastic Multiple-Attribute Decision Making Method Based on Stochastic Dominance and Almost Stochastic Dominance Rules with an Application to Online Purchase Decisions

Cognitive Computation, 2018
Although some stochastic multiple-attribute decision making (SMADM) methods based on the stochastic dominance (SD) rules have been proposed, there is still the limitation that the dominance relations between some pairs of alternatives cannot be identified. In this paper, almost stochastic dominance (ASD) rules are used as supplements of the SD rules to
Zhi-Ping Fan
exaly   +2 more sources

Make Almost Stochastic Dominance really Almost [PDF]

, 2013
Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance, skewness, or kurtosis.
Guo, Xu, Wong, Wing-Keung, Zhu, Lixing
openaire   +2 more sources

Almost stochastic dominance: Magnitude constraints on risk aversion

Insurance: Mathematics and Economics, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Liqun, Meyer, Jack
openaire   +2 more sources

Generalized Almost Stochastic Dominance

Operations Research, 2013
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.
Ilia Tsetlin, Robert L. Winkler, Rachel J. Huang, Larry Y. Tzeng   +3 more
openaire   +3 more sources

Multivariate Almost Stochastic Dominance

Journal of Risk and Insurance, 2017
AbstractAlmost 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. We present the concepts of multivariate almost stochastic dominance and multivariate almost nth‐degree risk and their connections with a ...
Ilia Tsetlin, Robert L. Winkler
openaire   +1 more source