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An improved criterion for almost marginal conditional stochastic dominance
Review of Quantitative Finance and AccountingWei-han Liu
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Socially responsible investing portfolio: An almost stochastic dominance approach
International Journal of Finance & Economics, 2018AbstractThis 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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Uniform Inference for Almost Stochastic Dominance
This paper develops a uniformly valid inference framework forAlmost Stochastic Dominance (ASD). ASD relaxes classical stochasticdominance by allowing small violations of dominance inequalities, and hasbeen widely used in empirical finance and welfare analysis.Yoon-Jae Whang +2 more
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Almost stochastic dominance via optimal transport
We study parametric classes of almost stochastic dominance on general Polish spaces as order relations for probability distributions with a parameter $γ\in [0,1]$. Larger values of $γ$ correspond to weaker order relations: $γ=0$ gives classical stochastic dominance $\le_{st}$, whereas $γ=1$ gives a complete preorder based on comparison of expectations ...Müller, Alfred, Wiesel, Johannes
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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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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
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Comparing retirement plans with almost stochastic dominance
SSRN Electronic Journal, 2023An Chen, Alfred Müller, Manuel Rach
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Multicriteria Analysis Based on Stochastic Dominance and Almost Stochastic Dominance Rule
2015W 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, 2021Michal Czerwonko +2 more
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