Extension of stochastic dominance theory to random variables

DOI10.1051/RO:1999100MaRDI QIDQ4497872zbMATH OpenOpenAlexFDO

Authors Chi-Kwong Li, Wing-Keung Wong

Publication date 24 August 2000

Published in RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=RO_1999__33_4_509_0/, https://eudml.org/doc/116588

zbMATH Keywords

utility functionascending stochastic dominancedescending stochastic dominancerisk avertersrisk lovers

Mathematics Subject Classification ID

Decision theory (91B06) Inequalities; stochastic orderings (60E15) Utility theory (91B16) Transportation, logistics and supply chain management (90B06)

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• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• Stochastic dominance theory for location-scale family
• Test statistics for prospect and Markowitz stochastic dominances with applications
• The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions
• Do investors like to diversify? A study of Markowitz preferences
• Statistical inference for a relaxation index of stochastic dominance under density ratio model
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• New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong
• Improved bounds for stochastic extensible bin packing under distributional assumptions
• Central moments, stochastic dominance, moment rule, and diversification with an application
• Preferences over location-scale family
• Stochastic dominance for shift-invariant measures
• A new stochastic dominance criterion for dependent random variables with applications
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
• On the estimation of cost of capital and its reliability
• Stochastic dominance in multi sampling environments

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