Results 241 to 250 of about 94,629 (276)

Almost first-order stochastic dominance by distorted expectations

Probability in the Engineering and Informational Sciences, 2022
Almost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost first-order stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform.
Jianping Yang, Tian Zhou, Weiwei Zhuang
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SAMPLING ERROR IN FIRST ORDER STOCHASTIC DOMINANCE

Journal of Financial Research, 1987
AbstractThis study analyzes the standard method of testing for first order stochastic dominance from a statistical viewpoint and applies a boundary crossing algorithm to approximate the resulting error probabilities. Error probabilities can be estimated even when the two distributions are not equal.
William E. Stein, Roger C. Pfaffenberger, Dan W. French   +2 more
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An inter-temporal CAPM based on First order Stochastic Dominance

European Journal of Operational Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Strong and Weak Multivariate First-Order Stochastic Dominance

SSRN Electronic Journal, 2018
In this article we deal with three types of multivariate first-order stochastic dominance which serve for comparing random vectors. The first one is the strongest and it is generated by all non-decreasing multivariate utility functions. The second one, called weak multivariate stochastic dominance is defined by comparison of cumulative distribution ...
Milos Kopa, Barbora Petrovv
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Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

Optimization, 2004
We consider stochastic optimization problems involving a continuum of probabilistic constraints. They are equivalent to stochastic dominance constraints of first order, frequently called stochastic ordering constraints. We develop necessary and sufficient conditions of optimality for these models.
Darinka Dentcheva †, Andrzej Ruszczyński   +1 more
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Tests for the first‐order stochastic dominance

Canadian Journal of Statistics
AbstractWe study the first‐order stochastic dominance (SD) test in the context of two independent random samples. We introduce several test statistics that effectively capture violations of the dominance relationship, particularly in the tail regions.
Weiwei Zhuang, Peiming Wang, Jiahua Chen
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Nonparametric Efficiency Analysis under Price Uncertainty: A First-Order Stochastic Dominance Approach

Journal of Productivity Analysis, 2002
This paper extends the nonparametric approach to efficiency analysis to deal with uncertainty of input-output prices. We generalize the notion of economic efficiency to derive necessary and sufficient first-order stochastic dominance (FSD) efficiency conditions.
Kuosmanen, T., Post, T.
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A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion

Journal of Financial and Quantitative Analysis, 2009
AbstractExisting approaches to testing for the efficiency of a given portfolio make strong parametric assumptions about investor preferences and return distributions. Stochastic dominance-based procedures promise a useful nonparametric alternative. However, these procedures have been limited to considering binary choices.
Kopa, M, Post, GT (Thierry)
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The Relationship between Arbitrage and First Order Stochastic Dominance

The Journal of Finance, 1986
ABSTRACTThis paper joins together two fields of research in financial economics. The first field studies stochastic dominance, while the second field studies arbitrage pricing. The two fields are linked together through the derivation and the proof of a characterization theorem. The characterization theorem gives necessary and sufficient conditions for
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On the Estimation Risk in First-Order Stochastic Dominance: A Note

The Journal of Financial and Quantitative Analysis, 1983
This note has given results for the probability of committing a Type I error in first-order stochastic dominance when it is assumed that both options have been sampled from the same distribution of returns. The probabilities are based on known results in the stochastic processes and statistical goodness-of-fit literatures, but have not been recognized ...
William Stein, Roger Pfaffenberger, P. C. Kumar   +2 more
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