Results 1 to 10 of about 1,005,083 (338)
Spanning Tests for Markowitz Stochastic Dominance [PDF]
Journal of Econometrics, 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
core +6 more sources
Elitism and Stochastic Dominance [PDF]
Social Choice and Welfare, 2011 Stochastic dominance has been typically used with a special emphasis on risk and in-equality reduction something captured by the concavity of the utility function in the expected utility model.
Patrick MOYES (GREThA, CNRS, UMR 5113) +1 more
core +8 more sources
, 2008 The concept of stochastic dominance is defined, and its relation to welfare, poverty, and income inequality explained. A brief discussion is provided of how statistical inference may be performed for hypotheses relating to stochastic dominance.
Russell Davidson
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Stochastic Dominance in Mobility Analysis [PDF]
Economics Letters, 2002 This paper introduces a technique for mobility dominance and compares the degree of earnings mobility of men in the USA from 1970 to 1995.
Fields, Gary S +2 more
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Testing for Restricted Stochastic Dominance [PDF]
SSRN Electronic Journal, 2006 Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is ...
Jean-Yves Duclos, Russell Davidson
core +10 more sources
Quantile forecast combination using stochastic dominance. [PDF]
Empir Econ, 2018 This paper derives optimal forecast combinations based on stochastic dominance efficiency (SDE) analysis with differential forecast weights for different quantiles of forecast error distribution. For the optimal forecast combination, SDE will minimize the cumulative density functions of the levels of loss at different quantiles of the forecast error ...
Pinar M, Stengos T, Yazgan ME.
europepmc +6 more sources
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.
Raymond H. Chan, Wing-Keung Wong
core +4 more sources
Application of Stochastics Dominance via Quantile Regression in Analysis of Arbitrage Opportunities Market Efficiency and Investors Preferences [PDF]
تحقیقات مالی, 2021 Objective: The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution.
Moslem Peymany Foroushany +2 more
doaj +1 more source
The concept of stochastic dominance in ranking investment alternatives [PDF]
Ekonomski Anali, 2005 In order to rank investments under uncertainty, the most widely used method is mean variance analysis. Stochastic dominance is an alternative concept which ranks investments by using the whole distribution function.
Trifunović Dejan
doaj +1 more source
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
doaj +3 more sources