Results 11 to 20 of about 13,911 (146)
Stochastic multi-criteria decision-making: an overview to methods and applications
Beni-Suef University Journal of Basic and Applied Sciences, 2019 Background The alternatives selection problem with multi-criteria in stochastic form variables is called as stochastic multi-criteria decision-making. The stochasticity of the criteria is considered using stochastic dominance, prospect theory, and regret
Erkan Celik +3 more
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Realistic utility versus game utility: a proposal for dealing with the spread of uncertain prospects
Statistica, 2013 The author develops the properties and implications of a proposal, concerning a summary statistic of the random prospect of utilities. Following a suggestion of Allais, such a statistic is increasing with expected utility, and decreasing – for most ...
Benito Vittorio Frosini
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Neurobiological studies of risk assessment: A comparison of expected utility and mean-variance approaches [PDF]
, 2008 When modeling valuation under uncertainty, economists generally prefer expected utility because it has an axiomatic foundation, meaning that the resulting choices will satisfy a number of rationality requirements.
Bossaerts, Peter, d'Acremont, M.
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Testing for prospect and Markowitz stochastic dominance efficiency
Journal of Econometrics, 2017 We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent.
Arvanitis, Stelios, Topaloglou, Nikolas
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Consistent Testing for Stochastic Dominance: A Subsampling Approach [PDF]
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap.
Esfandiar Maasoumi +2 more
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Inconclusive quantum measurements and decisions under uncertainty [PDF]
, 2016 We give a mathematical definition for the notion of inconclusive quantum measurements. In physics, such measurements occur at intermediate stages of a complex measurement procedure, with the final measurement result being operationally testable.
Sornette, D., Yukalov, V. I.
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Judgment and Decision MakingFirst-order stochastic dominance is a core principle in rational decision-making. If lottery A has a higher or equal chance of winning an amount $x $ or more compared to lottery B for all x, and a strictly higher chance for at least one $x $
Edika Quispe-Torreblanca +2 more
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Croatian Review of Economic, Business and Social Statistics, 2022 Abstract The COVID-19 pandemic and its impact on the stock markets in the Central and East European (CEE) countries have been investigated in many papers, but mostly from the perspective of the market connectedness and the spillovers. None of the existing researches addressed the potential changes in the investors’ utility in a certain ...
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Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons
RisksExpected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors.
Moshe Levy, Haim Levy
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Investor preferences for oil spot and futures based on mean-variance and stochastic dominance [PDF]
This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot
Lean, H.H., McAleer, M.J., Wong, W-K.
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