Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables

DOI10.1287/MNSC.21.12.1438MaRDI QIDQ4070587zbMATH OpenOpenAlexWikidataFDO

Authors Raymond G. Vickson

Publication date 1975

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.12.1438

Mathematics Subject Classification ID

Nonlinear programming (90C30) Utility theory (91B16)

Cited in

(14)

• Dynamic optimization models in finance: some extensions to the framework, models, and computation
• Efficiency analysis of deductible insurance policies
• Continua of stochastic dominance relations for bounded probability distributions
• Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty
• Negative conjectures and increased public good provision
• El problema de seleccion de la cartera en un mercado logaritmico-normal con criterio de utilidad R-∈
• A simple proof of Fishburn’s moments theorem
• Minimum distribution-sensitivity, poverty aversion, and poverty orderings
• Higher-degree stochastic dominance optimality and efficiency
• Joint stochastic orders of high degrees and their applications in portfolio selections
• On the relative efficiency of nth order and DARA stochastic dominance rules
• A data envelopment analysis approach to measure the mutual fund performance
• Third-degree stochastic dominance and axioms for a convex marginal utility function
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements

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