Comparing risks with reference points: a stochastic dominance approach

DOI10.1016/J.INSMATHECO.2016.05.003MaRDI QIDQ2520437zbMATHOpenAlexFDO

Authors Dongmei Guo, Yi Hu, Lin Zhao, Shouyang Wang

Publication date 13 December 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.05.003

zbMATH Keywords

stochastic dominancereference pointloss aversiondownside riskAllais-type anomaliesendowment effect for risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cites work

• "Expected Utility" Analysis without the Independence Axiom
• A Theory of Disappointment Aversion
• A model of reference-dependent preferences
• Advances in prospect theory: cumulative representation of uncertainty
• Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses Under Uncertainty
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Consistent Tests for Stochastic Dominance
• Disappointment and Dynamic Consistency in Choice under Uncertainty
• Disappointment in Decision Making Under Uncertainty
• Downside Loss Aversion and Portfolio Management
• Loss Aversion with a State-Dependent Reference Point
• Measures of Perceived Risk
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• On the dual test for SSD efficiency With an application to momentum investment strategies
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Safety First and the Holding of Assets
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Two-Sided Screening Procedures in the Bivariate Case

Cited in

(6)

• Increases in risk and demand for a risky asset
• Comparative risk sensitivity with reference-dependent preferences
• Comparison methods for stochastic models and risks
• Fraction-degree reference dependent stochastic dominance
• The participation puzzle with reference-dependent expected utility preferences
• Mean-risk analysis with enhanced behavioral content

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