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Tractable Almost Stochastic Dominance
European Journal of Operational Research, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lizyayev, Andrey, Ruszczyński, Andrzej
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Journal of Economic Dynamics and Control, 2020
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Topaloglou, Nikolas, Tsionas, Mike G.
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Topaloglou, Nikolas, Tsionas, Mike G.
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Marginal Conditional Stochastic Dominance
Management Science, 1994This paper introduces the concept of Marginal Conditional Stochastic Dominance (MCSD), which states the conditions under which all risk-averse individuals, when presented with a given portfolio, prefer to increase the share of one risky asset over that of another. MCSD rules also answer the question of whether all risk-averse individuals include a new
Haim Shalit, Shlomo Yitzhaki
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The Journal of Finance, 1982
IN THE LATE 1960s and 1970s, the Stochastic Dominance (SD) efficiency analysis framework was extensively developed and applied mainly to portfolio selection problems. The three basic decision criteria in this framework are the First, Second, and Third Degree Stochastic Dominance rules (hereafter FSD, SSD, and TSD, respectively). In most previous proofs
Kroll, Yoram, Levy, Haim
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IN THE LATE 1960s and 1970s, the Stochastic Dominance (SD) efficiency analysis framework was extensively developed and applied mainly to portfolio selection problems. The three basic decision criteria in this framework are the First, Second, and Third Degree Stochastic Dominance rules (hereafter FSD, SSD, and TSD, respectively). In most previous proofs
Kroll, Yoram, Levy, Haim
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European Journal of Operational Research, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Generalized Almost Stochastic Dominance
Operations Research, 2013Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. While the idea behind almost stochastic dominance is quite promising, it has not caught on in practice.
Tsetlin, Ilia +3 more
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Multi-Period Stochastic Dominance
Management Science, 1974First degree stochastic dominance rules for uncertain options (distributions of returns) have been developed for the following two cases: (a) multi-period additive utility functions, (b) univariate utility functions and compound distributions of returns.
Haim Levy, Jacob Paroush
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Stochastic dominance and optimal portfolio [PDF]
Economics Letters, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
K. Dachraoui, G. Dionne
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METRIZATION OF STOCHASTIC DOMINANCE RULES [PDF]
International Journal of Theoretical and Applied Finance, 2012 We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure.
Stoyanov, S. V. +2 more
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