Fraction-degree reference dependent stochastic dominance

DOI10.1007/S11009-022-09939-0MaRDI QIDQ2152263zbMATH OpenOpenAlexFDO

Authors Chaoqun Zhao, Weiru Chen, Diwei Zhou, Shuguang Han, Jianping Yang

Publication date 7 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-022-09939-0

zbMATH Keywords

consumption utilityreference dependent stochastic dominancereference point

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06)

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Cites work

• "Expected Utility" Analysis without the Independence Axiom
• A model of reference-dependent preferences
• Comparing risks with reference points: a stochastic dominance approach
• Comparison methods for stochastic models and risks
• Disappointment in Decision Making Under Uncertainty
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• scientific article; zbMATH DE number 3240941 (Why is no real title available?)
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• Optimization with Stochastic Dominance Constraints
• Prospect Theory: An Analysis of Decision under Risk
• Reference-dependent subjective expected utility.
• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Smooth generators of integral stochastic orders.
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
• The Efficiency Analysis of Choices Involving Risk
• The non-integer higher-order stochastic dominance
• Theory of games and economic behavior.

Cited in

(3)

• Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
• Comparing risks with reference points: a stochastic dominance approach
• Further properties of fractional stochastic dominance

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