Comparing risks with reference points: a stochastic dominance approach

DOI10.1016/J.INSMATHECO.2016.05.003zbMATH Open1371.91059OpenAlexW2437198370MaRDI QIDQ2520437FDOQ2520437

Yi Hu, Lin Zhao, Shouyang Wang, Dongmei Guo

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

Recommendations

• Fraction-degree reference dependent stochastic dominance
• Comparative risk sensitivity with reference-dependent preferences
• Apportioning of risks via stochastic dominance
• Rank dependent expected utility: Stochastic dominance, risk preference, and certainty equivalence
• Increases in risk and demand for a risky asset

zbMATH Keywords

stochastic dominancereference pointloss aversiondownside riskAllais-type anomaliesendowment effect for risk

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• Fraction-degree reference dependent stochastic dominance
• Comparison methods for stochastic models and risks
• The participation puzzle with reference-dependent expected utility preferences
• Comparative risk sensitivity with reference-dependent preferences

This page was built for publication: Comparing risks with reference points: a stochastic dominance approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2520437)