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Violations of first-order stochastic dominance
Journal of the Economic Science Association, 2023 AbstractI find necessary and sufficient conditions for first-order stochastic dominance (FOSD) violations for choices from a budget line of Arrow securities. Applying this characterization to existing data, I compare FOSD violation rates across a broad set of risk preference elicitation tasks.
Brett Williams
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Extreme Points and First-Order Stochastic Dominance: Theory and Applications
SSRN Electronic Journal, 2023 We characterize the extreme points of first-order stochastic dominance (FOSD) intervals and show how these intervals are at the heart of many topics in economics.
Kai Hao Yang, Alexander Zentefis
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Image based statistical process monitoring via partial first order stochastic dominance
Quality Engineering, 2021 The continuously evolving digitalized manufacturing industry is pushing quality engineers to face new and complex challenges. Quality data formats are evolving from simple univariate or multivariate characteristics to big data streams consisting of sequences of images and videos in the visible or infrared range; manufacturing processes are moving from ...
Tsiamyrtzis P. +2 more
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Violations of first-order stochastic dominance as salience effects [PDF]
Journal of Behavioral and Experimental Economics, 2015 Abstract In contradiction to expected utility theory, various studies find that splitting events or attributes into subevents and subattributes can reverse a decision maker’s choices. Most notably, these effects can induce first-order stochastic dominated choices. Such violations of first-order stochastic dominance are framing effects, which expected
Dertwinkel-Kalt, Markus, Köster, Mats
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Trading Cryptocurrencies Using Second Order Stochastic Dominance
Mathematics, 2021 This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano.
Gil Cohen
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Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints [PDF]
SIAM Journal on Optimization, 2007 We analyze the stability and sensitivity of stochastic optimization problems with stochastic dominance constraints of first order. We consider general perturbations of the underlying probability measures in the space of regular measures equipped with a suitable discrepancy distance.
Henrion, René +2 more
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Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints [PDF]
Mathematical Programming, 2007 Stochastic dominance relations are well studied in statistics, decision theory and economics. Recently, there has been significant interest in introducing dominance relations into stochastic optimization problems as constraints. In the discrete case, stochastic optimization models involving second order stochastic dominance constraints can be solved by
Noyan, Nilay, Ruszczynski, Andrzej
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Relaxations of linear programming problems with first order stochastic dominance constraints [PDF]
Operations Research Letters, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Noyan, Nilay +2 more
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Max- and min-stability under first-order stochastic dominance
Mathematics and Financial EconomicsMax-stability is the property that taking a maximum between two inputs results in a maximum between two outputs. We study max-stability with respect to first-order stochastic dominance, the most fundamental notion of stochastic dominance in decision theory.
Christopher Chambers +3 more
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Comment on “A Model of Probabilistic Choice Satisfying First-Order Stochastic Dominance” by Pavlo Blavatskyy [PDF]
Management Science, 2014 We present examples of existing evidence that lead us to be cautious about claims made in the original paper [Blavatskyy PR (2011) A model of probabilistic choice satisfying first-order stochastic dominance. Management Sci. 57(3):542–548] that the proposed model provides a better fit to experimental data than do existing models.
Loomes, Graham +2 more
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