Results 211 to 220 of about 6,367 (240)

Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors [PDF]

, 2013
In this paper we first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.
Xu, Guo, Wing-Keung, Wong, Lixing, Zhu
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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.
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   +2 more sources

A State-of-the-Art Fund Performance Index: Higher-Order Omega and Its Consistency with Almost Stochastic Dominance

Journal of Risk and Financial Management, 2022
This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance.
Ling Xiao, Gurjeet Dhesi
exaly   +2 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

Almost first-order stochastic dominance by distorted expectations

Probability in the Engineering and Informational Sciences, 2022
Almost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost first-order stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform.
Jianping Yang, Tian Zhou, Weiwei Zhuang
openaire   +1 more source

Consistent Tests for Almost Stochastic Dominance

SSRN Electronic Journal, 2015
Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now.
Xu Guo, Haim Levy, Wing-Keung Wong
openaire   +1 more source

An almost stochastic dominance based method for stochastic multiple attributes decision making

Intelligent Decision Technologies, 2017
This paper proposes an almost stochastic dominance based method for solving the stochastic multiple attribute decision making (SMADM) problems, where the attribute values of alternatives are represented by interval number with probability distribution (INPD), a random variable with closed interval support.
Yunna Wu, Hu Xu 0006, Chuanbo Xu, Xinli Xiao   +3 more
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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  

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.
openaire   +1 more source