Results 251 to 260 of about 125,527 (282)

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.
openaire   +3 more sources

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
openaire   +2 more sources

First-Order Stochastic Dominance Violations, Risk Preferences and Framing Effects

SSRN Electronic Journal, 2023
Mehman Ismayilli
openaire   +2 more sources

Testing for First-Order Stochastic Dominance: A New Distribution-Free Test

The Statistician, 1996
SUMMARY This paper introduces a new distribution-free test for first-order stochastic dominance. It can be viewed as a modification of the well-known Wilcoxon-Mann-Whitney test. As it is based on the p-p-plot of two distribution functions the new test statistic has a nice pictorial interpretation.
Friedrich Schmid, Mark Trede
openaire   +2 more sources

The first-order stochastic dominance ordering of the Singh–Maddala distribution

Economics Letters, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefan Klonner
openaire   +2 more sources

The mass transfer approach to multivariate discrete first order stochastic dominance: Direct proof and implications

Journal of Mathematical Economics, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. P. Østerdal
openaire   +4 more sources

Data-Driven Optimization with Distributionally Robust Second Order Stochastic Dominance Constraints

Operational Research, 2022
This paper presents the first comprehensive study of a data-driven formulation of the distributionally robust second order stochastic dominance constrained problem (DRSSDCP) that hinges on using a type-1 Wasserstein ambiguity set. It is, furthermore, for
Chun Peng, E. Delage
semanticscholar   +1 more source

On the Impossibility of Statistically Improving Empirical Optimization: A Second Order Stochastic Dominance Perspective

Management Sciences, 2021
When the underlying probability distribution in a stochastic optimization is observed only through data, various data-driven formulations have been studied to obtain approximate optimal solutions.
H. Lam
semanticscholar   +1 more source

Optimization Under First Order Stochastic Dominance Constraints [PDF]

, 2004
We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions of optimality for these models.
Darinka Dentcheva, Andrzej Ruszczynski
openaire  

The reference interval in higher-order stochastic dominance

Economic Theory Bulletin
Given two random variables taking values in a bounded interval, we study whether one dominates the other in higher-order stochastic dominance depends on the reference interval in the model setting. We obtain two results.
Ruodu Wang, Qinyu Wu
semanticscholar   +1 more source