Results 1 to 10 of about 14,015 (245)
Prospect and Markowitz stochastic dominance [PDF]
Annals of Finance, 2005 Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory PSD and Markowitz Stochastic Dominance theory MSD to the first three orders and link the corresponding S-shaped and ...
Wong, W.-K., Chan, R.H.
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Stochastic representation decision theory: How probabilities and values are entangled dual characteristics in cognitive processes. [PDF]
PLoS ONE, 2020 Humans are notoriously bad at understanding probabilities, exhibiting a host of biases and distortions that are context dependent. This has serious consequences on how we assess risks and make decisions.
Giuseppe M Ferro, Didier Sornette
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Operations Research and Decisions, 2012 There are commonly accepted and objective decision rules, which are consistent with rationality, for example stochastic dominance rules. But, as can be seen in many research studies in behavioral economics, decision makers do not always act rationally ...
Ewa Michalska, Renata Dudzińska-Baryła
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Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance [PDF]
, 2007 In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of aversion and of seeking to risk both hypothesis on the sign ...
DE NADAI, Giuseppe, PIANCA, Paolo
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Separating response variability from structural inconsistency to test models of risky decision making [PDF]
Judgment and Decision Making, 2012 Individual true and error theory assumes that responses by the same person to the same choice problem within a block of trials are based on the same true preferences but may show preference reversals due to random error. Between blocks, a person{}'s true
Michael H. Birnbaum, Jeffrey P. Bahra
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Why choose wisely if you have already paid? Sunk costs elicit stochastic dominance violations [PDF]
Judgment and Decision Making, 2018 Sunk costs have been known to elicit violations of expected utility theory, in particular, the independence or cancellation axiom. Separately, violations of the stochastic dominance principle have been demonstrated in various settings despite the fact ...
Ryan K. Jessup +2 more
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Stochastic Dominance and Uncertain Price Prospects [PDF]
Southern Economic Journal, 1989 This paper develops rules for ordering uncertain price prospects. For consumers with identical ordinal preferences, we propose stochastic dominance rules based on equivalent variation (EV). The second-degree stochastic dominance (SSD) rule on the induced distributions of EV yields a unanimous ranking among income risk averters. The SSD rule on consumer
Choi, E. Kwan, Johnson, Stanley
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Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
SSRN Electronic Journal, 2020 We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and linear programming.
Stelios Arvanitis +2 more
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Terrorist choice: a stochastic dominance and prospect theory analysis [PDF]
Defence and Peace Economics, 2015 The paper explores terrorist choice by applying two well-known theoretical frameworks: stochastic dominance and prospect theory (PT). We analyse each pair of attack methods that can be formed from the RAND-MIPT database and the Global Terrorism Database. Instances of stochastic dominance are identified. PT orderings are computed.
Phillips, Peter J., Pohl, Gabriela
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Entropy, 2017 Traditional stochastic dominance rules are so strict and qualitative conditions that generally a stochastic dominance relation between two alternatives does not exist.
Yunna Wu +4 more
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