Results 221 to 230 of about 6,367 (240)

Almost Stochastic Dominance (ASD)

2016
We have seen in Chap. 6 that the SD criteria as well as the MV rule may lead to paradoxes in decision making. To avoid such paradoxes and to make the theoretical distributions to be closer to the empirical distributions it suggested in the previous chapter to truncate the theoretical distributions.
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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
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Retrieving almost stochastic Dominance momentum in Taiwan stock market

Pacific-Basin Finance Journal
We propose new momentum strategies based on the Almost Stochastic Dominance rules. Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, and exhibits lower volatility and reduced negative skewness in returns. The abnormal returns are statistically and economically significant when testing against alternative common
Mi-Hsiu Chiang, Hsin-Yu Chiu, Yu-Chin Hsu   +2 more
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Comparing retirement plans with almost stochastic dominance

SSRN Electronic Journal, 2023
An Chen, Alfred Müller, Manuel Rach
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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 ...
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Multicriteria Analysis Based on Stochastic Dominance and Almost Stochastic Dominance Rule

2015
W pracy przedstawiono technikę wspomagania decyzji, która może być wykorzystywana do rozwiązywania dyskretnych wielokryterialnych problemów podejmowania decyzji w warunkach ryzyka. Do porównania rozkładów ocen wariantów decyzyjnych wykorzystywane są reguły dominacji stochastycznej oraz prawie-dominacji stochastycznej. Ranking końcowy uzyskiwany jest za
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Tail Risk, Almost Stochastic Dominance and Index Option Anomalies

SSRN Electronic Journal, 2021
Michal Czerwonko, Russell Davidson, Stylianos Perrakis   +2 more
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A method based on the disappointment almost stochastic dominance degree for the multi-attribute decision making with linguistic distributions

Information Fusion, 2020
Haiming Liang, Weijun Xu
exaly  

Almost Stochastic Dominance Rules and the Horizon

2022
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Intuitionistic fuzzy three-way transfer learning based on rough almost stochastic dominance

Engineering Applications of Artificial Intelligence, 2023
Xianwei Xin, Chunlei Shi, Tianbao Song, Haitao Liu 0007, Zhanao Xue, Ji-Hua Song   +5 more
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