Results 261 to 270 of about 20,945 (297)

Standard Stochastic Dominance

European Journal of Operational Research, 2014
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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., Rachev, S. T., Fabozzi, F. J.   +2 more
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Stochastic Dominance and Moment Inequalities

Mathematics of Operations Research, 1984
For any distribution function (df) F, define F1 = F and Fn+1 (x) = ∫−∞x Fn(y) dy. For two df's F and G, we obtain a relationship between the behaviour of Gn(x) − Fn(x) for large x and certain inequalities involving the moments of F and G. In particular, we generalize Fishburn's theorem, which deduces such inequalities from the condition that Gn(x ...
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Stochastic dominance with nonadditive probabilities

ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research, 1993
Summary: Choquet expected utility which uses capacities (i.e. nonadditive probability measures) in place of \(\sigma\)-additive probability measures has been introduced to decision making under uncertainty to cope with observed effects of ambiguity aversion like the Ellsberg paradox.
Rainer Dyckerhoff, Karl Mosler
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Operational asymptotic stochastic dominance

European Journal of Operational Research, 2020
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Rachel J. Huang, Larry Y. Tzeng, Jr-Yan Wang, Lin Zhao 0014   +3 more
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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. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory PSD and Markowitz Stochastic Dominance theory MSD to the first three orders and link the corresponding S-shaped and ...
Wong, W.-K., Chan, R.H.
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ON STOCHASTIC DOMINANCE OF NILPOTENT OPERATORS

Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2013
In this paper, motivated by Nica and Speicher [Lectures on the Combinatorics of Free Probability, London Mathematical Society Lecture Note Series, Vol. 335 (Cambridge University Press, 2006)] and Kubo and Kuo [MRM-factors for the probability measures in the Meixner class, Infin. Dimens. Anal. Quantum Probab. Relat.
Mudakkar, Syeda Rabab, Utev, Sergey
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Stochastic Dominance of Pension Plans

Metroeconomica, 2003
We compare different possibilities to reform a funded pension plan, whose balance is threatened by a decrease in mortality rates. Since the plan is mandatory, the welfare of employees might be reduced if contributions increase or if the retirement age is raised. An empirical study of Israeli data shows that a reform which decreases the pension benefits
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Aspects of optimization with stochastic dominance

Annals of Operations Research, 2016
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William B. Haskell 0001, J. George Shanthikumar, Zuo-Jun Max Shen   +2 more
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Multi-Period Stochastic Dominance

Management Science, 1974
First 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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