New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets. [PDF]
Heliyon, 2023 Wong WK +4 more
europepmc +1 more source
Preferences over Meyer’s Location-Scale Family [PDF]
This paper extends Meyer’s (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting.
Chenghu Ma, Wing-Keung Wong
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Does Risk Seeking drive Asset Prices? [PDF]
, 2002 We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio
Levy, H. (Haim), Post, G.T. (Thierry)
core +2 more sources
Stock Portfolio Optimization Using a Combined Approach of Multi Objective Grey Wolf Optimizer and Machine Learning Preselection Methods. [PDF]
Comput Intell Neurosci, 2022 Mazraeh NB +3 more
europepmc +1 more source
Portfolio Analysis Based on Markowitz Stochastic Dominance Criteria: A Behavioral Perspective
This paper develops stochastic optimization problems for describing and analyzing behavioral investors with Markowitz Stochastic Dominance (MSD) preferences. Specifically, we establish dominance conditions in a discrete state-space to capture all reverse S-shaped MSD preferences as well as all subjective decision weights generated by inverse S-shaped ...
openaire +2 more sources
Stochastic Dominance Efficiency Tests under Diversification [PDF]
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD.
Timo Kuosmanen
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Data-driven distillation and precision prognosis in traumatic brain injury with interpretable machine learning. [PDF]
Sci Rep, 2023 Tritt A +9 more
europepmc +1 more source
Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach [PDF]
This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between
Lean, H.H., McAleer, M.J., Wong, W-K.
core +1 more source
Mutation pressure, drift, and the pace of molecular coevolution. [PDF]
Proc Natl Acad Sci U S A, 2023 Lynch M.
europepmc +1 more source
Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach [PDF]
This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence ...
Hooi Hooi Lean +2 more
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