Results 241 to 250 of about 23,386,387 (281)

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 Blavatskyy
exaly   +2 more sources

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
openaire   +1 more source

An inter-temporal CAPM based on First order Stochastic Dominance

European Journal of Operational Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Between First and Second-Order Stochastic Dominance

Management Science, 2015
We develop a continuum of stochastic dominance rules, covering preferences from first to second-order stochastic dominance. The motivation for such a continuum is that while decision makers have preference for "more is better," they are mostly risk averse but cannot assert that they would dislike any risk.
Alfred Müller, Marco Scarsini, Ilia Tsetlin, Robert L. Winkler   +3 more
openaire   +3 more sources

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
openaire   +1 more source

Testing First- and Second-Order Stochastic Dominance

The Canadian Journal of Economics, 1996
Tests for stochastic dominance are important tools for the comparison of distributions between pairs of random variables. In finance, dominance criteria can potentially provide an unambiguous ranking of the desirability of different assets while placing only general restrictions on the preferences of investors.
Kuan Xu, Gordon Fisher, Douglas Willson
openaire   +1 more source

Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

SIAM Journal on Optimization, 2015
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 [R. Henrion and W. Römisch, Math. Program., 84 (1999), pp.
Matthias Claus, Rüdiger Schultz
openaire   +1 more source

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
openaire   +1 more source