Results 221 to 230 of about 2,391,904 (247)

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
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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
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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
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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

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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Almost stochastic dominance under inconsistent utility and loss functions

Journal of Applied Probability, 2017
Abstract Current literature on stochastic dominance assumes utility/loss functions to be the same across random variables. However, decision models with inconsistent utility functions have been proposed in the literature. The use of inconsistent loss functions when comparing between two random variables can also be appropriate under other problem ...
Chunling Luo, Zhou He 0004, Chin Hon Tan
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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.
Guo, Xu, Wong, Wing-Keung, Zhu, Lixing
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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.
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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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