Results 31 to 40 of about 13,911 (146)
An information theory for preferences
, 2003 Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative of a normalized
Abbas, Ali E.
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Spanning Tests for Markowitz Stochastic Dominance
, 2018 We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some ...
Arvanitis, Stelios +2 more
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Diversification Preferences in the Theory of Choice
, 2015 Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked.
De Giorgi, Enrico G., Mahmoud, Ola
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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
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Evaluating hedge fund performance: a stochastic dominance approach [PDF]
, 2007 We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for stochastic dominance to compare the returns of hedge funds.
Li, Sheng, Linton, Oliver
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Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach [PDF]
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice.
Raúl Ibarra-Ramírez
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A simple test for the violation of the non-satiation axiom under uncertainty: The theory [PDF]
The validity of most axioms which underlie the expected utility model has been the object of intense empirical testing. These include the independence, betweenness, transitivity, monotonicity, reduction, and non-satiation axioms.
Calin Valsan, Robert Sproule
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Testing Theories of Risky Decision Making via Critical Tests
Frontiers in Psychology, 2011 Michael eBirnbaum
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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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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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