Results 241 to 250 of about 20,960,063 (275)
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An inter-temporal CAPM based on First order Stochastic Dominance
European Journal of Operational Research, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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SAMPLING ERROR IN FIRST ORDER STOCHASTIC DOMINANCE
Journal of Financial Research, 1987AbstractThis 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 +2 more
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Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints
SIAM Journal on Optimization, 2015Summary: 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.
Matthias Claus, Rüdiger Schultz
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Strong and Weak Multivariate First-Order Stochastic Dominance
SSRN Electronic Journal, 2018In 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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On the Estimation Risk in First-Order Stochastic Dominance: A Note
The Journal of Financial and Quantitative Analysis, 1983This 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 +2 more
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Tests for the first‐order stochastic dominance
Canadian Journal of StatisticsAbstractWe 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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The Relationship between Arbitrage and First Order Stochastic Dominance
The Journal of Finance, 1986ABSTRACTThis 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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A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion
Journal of Financial and Quantitative Analysis, 2009AbstractExisting 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 first-order stochastic dominance ordering of the Singh–Maddala distribution
Economics Letters, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
Optimization, 2004We 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 † +1 more
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