Results 231 to 240 of about 70,386 (264)
Some of the next articles are maybe not open access.
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
Retrieving almost stochastic Dominance momentum in Taiwan stock market
Pacific-Basin Finance JournalWe 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 +2 more
openaire +2 more sources
Revisiting almost marginal conditional stochastic dominance
The Quarterly Review of Economics and Finance, 2022Tzu-Ying Chen +2 more
openaire +1 more source
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
openaire +1 more source
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 ...
openaire +1 more source
Comparing retirement plans with almost stochastic dominance
SSRN Electronic Journal, 2023An Chen, Alfred Müller, Manuel Rach
openaire +1 more source
Tail Risk, Almost Stochastic Dominance and Index Option Anomalies
SSRN Electronic Journal, 2021Michal Czerwonko +2 more
openaire +1 more source
A stochastic agent-based model of the SARS-CoV-2 epidemic in France
Nature Medicine, 2020Nicolas Hoertel +2 more
exaly
Intuitionistic fuzzy three-way transfer learning based on rough almost stochastic dominance
Engineering Applications of Artificial Intelligence, 2023Xian-wei Xin +5 more
openaire +1 more source