Results 241 to 250 of about 98,818 (275)

Tractable Almost Stochastic Dominance

European Journal of Operational Research, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lizyayev, Andrey, Ruszczyński, Andrzej
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An improved criterion for almost marginal conditional stochastic dominance

Review of Quantitative Finance and Accounting
Wei-Han Liu, Jow-Ran Chang, Guo-Jun Yang
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Revisiting Almost Second-Degree Stochastic Dominance

Management Science, 2013
Leshno and Levy [Leshno M, Levy H (2002) Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Management Sci. 48(8):1074–1085] established almost stochastic dominance to reveal preferences for most rather than all decision makers with an increasing and concave utility function.
Larry Y. Tzeng, Rachel J. Huang, Pai-Ta Shih   +2 more
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Make Almost Stochastic Dominance really Almost [PDF]

, 2013
Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance, skewness, or kurtosis.
Guo, Xu, Wong, Wing-Keung, Zhu, Lixing
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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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Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance

Management Science, 2002
While “most” decision makers may prefer one uncertain prospect over another, stochastic dominance rules as well as other investment criteria, will not reveal this preference due to some extreme utility functions in the case of even a very small violation of these rules.
Moshe Leshno, Haim Levy
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Almost Stochastic Dominance and stocks for the long run

European Journal of Operational Research, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Multivariate Stochastic Dominance via Optimal Transport and Applications to Models Benchmarking

Neural Information Processing Systems
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little has been done
Gabriel Rioux, Apoorva Nitsure, Mattia Rigotti, Kristjan H. Greenewald, Youssef Mroueh   +4 more
semanticscholar   +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
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