Results 251 to 260 of about 22,065,045 (278)

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

Economics Letters, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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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
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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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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
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First-Order Stochastic Dominance Violations, Risk Preferences and Framing Effects

2023
This paper experimentally investigates whether decision-makers violations of the first-order stochastic dominance (FSD) criterion of rational choice, as documented in previous studies, are correlated with their risk preferences. As argued in the literature, FSD violations require framing effects to affect an individual's decisions: the frame of the ...
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Extreme Points and First-Order Stochastic Dominance: Theory and Applications

Proceedings of the 24th ACM Conference on Economics and Computation, 2023
Kai-Hao Yang, Alexander Zentefis
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The mass transfer approach to multivariate discrete first order stochastic dominance: Direct proof and implications

Journal of Mathematical Economics, 2010
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A proof of first-order stochastic dominance for quantity constrained oligopolies

2008
In this paper a proof for First Order Stochastic Dominance for capacity constrained oligopolies exhibiting equilibrium in mixed strategies is derived. The result is an extension of Levitan and Shubik (1972) where they derive the mixed strategy equilibrium for quantity constrained oligopolies.
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