Results 241 to 250 of about 125,527 (282)

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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An inter-temporal CAPM based on First order Stochastic Dominance

European Journal of Operational Research, 2022
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Moshe Levy
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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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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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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
R. Jarrow
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A Model of Probabilistic Choice Satisfying First-Order Stochastic Dominance

Management Science, 2011
This paper presents a new model of probabilistic binary choice under risk. In this model, a decision maker always satisfies first-order stochastic dominance. If neither lottery stochastically dominates the other alternative, a decision maker chooses in a probabilistic manner.
Pavlo R. Blavatskyy
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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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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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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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Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

SIAM Journal on Optimization, 2015
Summary: Considering first-order stochastic dominance constraints for random variables arising as optimal values of stochastic programs with linear recourse, verifiable sufficient conditions for metric regularity are presented. A growth condition developed in [\textit{R. Henrion} and \textit{W. Römisch}, Math. Program. 84, No.
Claus, Matthias, Schultz, Rüdiger
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