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A Model of Probabilistic Choice Satisfying First-Order Stochastic Dominance
Management Science, 2011This 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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Almost first-order stochastic dominance by distorted expectations
Probability in the Engineering and Informational Sciences, 2022Almost 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, 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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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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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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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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