Results 91 to 100 of about 111,672 (179)
Improved Portfolio Choice using Second-Order Stochastic Dominance [PDF]
We examine the use of second-order stochastic dominance as both a way to measure performance and also as a technique for constructing portfolios. Using in-sample data, we construct portfolios such that their second-order stochastic dominance over a ...
James E. Hodder +2 more
core
Equity Premium Puzzle in Tehran Stock Exchange: stochastic dominance approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2013 شاخص ماهیانه بازار سهام تهران در بازهی زمانی ماه اول سال 1380 تا ابتدای ماه دوم سال 1391، دارای رشد میانگین حسابی 155 درصد بوده است، این درحالی است که بازدهی سپردهی سرمایهگذاری 5 ساله 25درصد در سال بوده است.
Gholamreza Keshavarz Haddad +1 more
doaj
The Impacts of Farm Size and Economic Risk on No-Till Rice Whole-Farm Profitability [PDF]
This study evaluated the impacts of farm size and stochastic return variability on no-till (NT) rice profitability at the whole-farm level. Mixed integer programming was used to determine optimal machinery complements, fuel consumption, and machinery ...
Anders, Merle M. +2 more
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Testing for Third-Order Stochastic Dominance with Diversification Possibilities [PDF]
We derive an empirical test for third-order stochastic dominance that allows fordiversification between choice alternatives. The test can be computed usingstraightforward linear programming.
Post, G.T.
core +1 more source
Portfolio Optimization With Stochastic Dominance Constraints [PDF]
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We
Andrzej Ruszczynski, Darinka Dentcheva
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Poverty-Reducing Tax Reforms with Heterogeneous Agents [PDF]
The poverty impact of indirect tax reforms is analyzed using sequential stochastic dominance methods. This allows agents to differ in dimensions that cannot always be precisely captured within the usual money-metric indicators of living standards ...
Duclos, Jean-Yves +2 more
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The Monotonicity of Asset Prices with Changes in Risk [PDF]
The goal of this paper is the examination of the conditions on preferences to guarantee the monotonicity of asset prices, when their returns change in the sense of first- and second-order stochastic dominances.Asset Price; Comparative Statics; First ...
Masamitsu Ohnishi, Yusuke Osaki
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Genetic modification and yield risk: A stochastic dominance analysis of corn in the USA. [PDF]
PLoS One, 2019 Nolan E, Santos P.
europepmc +1 more source
Consistent Testing for Poverty Dominance [PDF]
poverty, stochastic dominance, random poverty line ...
Thuysbaert, Bram, Zitikis, Ricardas
core
Empirical research often requires a method how to convert a deterministic economic theory into an econometric model. A popular method is to add a random error term on the utility scale. This method, however, violates stochastic dominance.
Pavlo R. Blavatskyy
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