Results 101 to 110 of about 111,672 (179)

Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models. [PDF]

Data Brief, 2016
Bruni R, Cesarone F, Scozzari A, Tardella F.   +3 more
europepmc   +1 more source

Poverty, Inequality and Stochastic Dominance, Theory and Practice: The Case of Burkina Faso [PDF]

In this paper we provide a set of rules that can be used to check poverty or inequality dominance using discrete data. Existing theoretical rules assume continuity in incomes or in percentiles of the population.
Abdelkrim Araar
core   +1 more source

Stochastic Dominance Efficiency Tests under Diversification [PDF]

This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD.
Timo Kuosmanen
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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, Oliver Linton, Whang, Yoon-Jae   +2 more
core  

Beyond Optimal Forecasting [PDF]

forecasting,forecast loss functions,stochastic dominance.
Richard A. Ashley.
core  

Seasonal reversal in phytoplankton assembly mechanisms: stochastic dominance in autumn vs. deterministic control in spring within the middle and lower reaches of the Yellow River. [PDF]

Front Microbiol
Zeng D, Ding H, Tang Y, Gao Y, Jin J, Gao X, Zhang J, Yuan H, Dong J, Li X.   +9 more
europepmc   +1 more source

EVALUATION OF ALTERNATIVE RISK SPECIFICATIONS IN FARM PROGRAMMING MODELS [PDF]

The use of alternative probability density functions to specify risk in farm programming models is explored and compared to a traditional specification using historical data.
Ford, Beth Pride, Ford, Stephen A., Spreen, Thomas H.   +2 more
core   +1 more source

PREFERENCE RELATIONS IN RANKING MULTIVALUED ALTERNATIVES USING STOCHASTIC DOMINANCE: CASE OF THE WARSAW STOCK EXCHANGE [PDF]

This study used stochastic dominance tests for ranking alternatives under ambiguity, to build an efficient set of assets for a different class of investors.
Grazyna Trzpiot
core  

Discounting The Equity Premium Puzzle [PDF]

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the
Esfandiar Maasoumi, G.C. Lim, Vance Martin   +2 more
core  

Changes in Risk and Asset Prices [PDF]

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall.
Christian Gollier, Harris Schlesinger
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