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Portfolio Optimization Based on Almost Second-Degree Stochastic Dominance
Management ScienceIn 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
Chunling Luo, Piao Chen, Patrick Jaillet
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Consistent Tests for Almost Stochastic Dominance
SSRN Electronic Journal, 2015Leshno 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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Almost Stochastic Dominance (ASD)
2016We 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.
H. Levy
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Comparing retirement plans with almost stochastic dominance
SSRN Electronic Journal, 2023An Chen, Alfred Müller, Manuel Rach
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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
Guang-Tian Jiang, Zhi-Ping Fan, Yang Liu
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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
Guang-Tian Jiang, Zhi-Ping Fan, Yang Liu
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Tail Risk, Almost Stochastic Dominance and Index Option Anomalies
SSRN Electronic Journal, 2021Michal Czerwonko +2 more
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Critical Values for Almost Stochastic Dominance based on Relative Risk Aversion
SSRN Electronic Journal, 2015We 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 ...
T. Post
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Intuitionistic fuzzy three-way transfer learning based on rough almost stochastic dominance
Engineering Applications of Artificial Intelligence, 2023Xian-wei Xin +5 more
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Revisiting almost marginal conditional stochastic dominance
The Quarterly Review of Economics and Finance, 2022Tzu-Ying Chen +2 more
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Social Science Research Network, 2021
Important business, public policy, and personal decisions typically involve multiple objectives, which in turn can be represented by multiple attributes, and uncertainty.
A. Müller +3 more
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Important business, public policy, and personal decisions typically involve multiple objectives, which in turn can be represented by multiple attributes, and uncertainty.
A. Müller +3 more
semanticscholar +1 more source