Results 201 to 210 of about 14,015 (245)

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Journal of Mathematical Economics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mao, Tiantian, Wang, Ruodu
openaire   +1 more source

Stochastic Dominance and Cumulative Prospect Theory

Management Science, 2006
We generalize and extend the second-order stochastic dominance condition for expected utility to cumulative prospect theory. The new definitions include preferences represented by S-shaped value functions, inverse S-shaped probability weighting functions, and loss aversion.
Manel Baucells, Franz H. Heukamp
openaire   +2 more sources

Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions

Journal of Risk and Uncertainty, 1998
The purpose of this paper is to analyze under what set of transformations \({\mathbf T}_1\), the first degree stochastic dominance is unaffected (we use bold letters for sets to distinguish between a set of transformations and a particular one).
Levy, Haim, Wiener, Zvi
openaire   +1 more source

A Complete Ranking of Risky Prospects Consistent with Stochastic Dominance

SSRN Electronic Journal, 2020
We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD.
Olivier Arnaud Le Courtois, Xia Xu
openaire   +1 more source

Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

SSRN Electronic Journal, 2007
Summary: \textit{H. Levy} and \textit{M. Levy} [``Prospect theory: much ado about nothing?'', Manage. Sci. 48, 1334--1349 (2002); ``Prospect theory and mean-variance analysis'', Rev. Financ. Stud. 17, 1015--1041 (2004)] extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD ...
Bai, Z., Li, H., Liu, H., Wong, W.-K.
openaire   +1 more source

Home - About - Disclaimer - Privacy