Results 251 to 260 of about 112,689 (295)
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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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Fractional Degree Stochastic Dominance
Management Science, 2020We develop a continuum of stochastic dominance rules for expected utility maximizers. The new rules encompass the traditional integer-degree stochastic dominance; between adjacent integer degrees, they formulate the consensus of individuals whose absolute risk aversion at the corresponding integer degree has a negative lower bound.
Rachel J Huang, Larry Y Tzeng, Lin Zhao
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Stochastic Dominance and Moments of Distributions
Mathematics of Operations Research, 1980Stochastic dominance orders of all finite degrees are defined on the set of distribution functions on the nonnegative real numbers in terms of integrals of the distributions. It is proved that if F strictly nth-degree stochastically dominates G, and if the moments of F and G through order n are finite with μFk = ∫Xk dF (x), then (μF1, …, μFn) ≠ (μG1, …
Peter C Fishburn
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Tractable Almost Stochastic Dominance
European Journal of Operational Research, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Andrey Lizyayev, Andrzej Ruszczynski
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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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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.
Ilia Tsetlin +3 more
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Operational asymptotic stochastic dominance
European Journal of Operational Research, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rachel J. Huang +3 more
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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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European Journal of Operational Research, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Stochastic Dominance on Unidimensional Grids
Mathematics of Operations Research, 1995Special stochastic-dominance relations for probability distributions on a finite grid of evenly-spaced points are considered. The relations depend solely on iterated partial sums of grid-point probabilities and are very computer efficient. Their corresponding classes of utility functions for expected-utility comparisons consist of functions defined on
Peter C. Fishburn, Irving H. Lavalle
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