The Efficiency Analysis of Choices Involving Risk
From MaRDI portal
Publication:5576707
DOI10.2307/2296431zbMath0184.45202OpenAlexW2089260477WikidataQ61773079 ScholiaQ61773079MaRDI QIDQ5576707
No author found.
Publication date: 1969
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2296431
Related Items
Some new conditions for the increasing convex comparison of risks ⋮ Finding efficient and environmentally friendly paths for risk-averse freight carriers ⋮ Testing for second order stochastic dominance ⋮ Improvements in the power of empirical stochastic dominance comparisons through kernel density estimation: a monte carlo study ⋮ Portfolio selection in a two-regime world ⋮ On the relative efficiency of nth order and DARA stochastic dominance rules ⋮ Portfolio selection on the Madrid Exchange: a compromise programming model ⋮ A test for second order stochastic dominance ⋮ Capital market equilibrium with heterogeneous investors ⋮ CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES ⋮ Fraction-degree reference dependent stochastic dominance ⋮ Unnamed Item ⋮ Portfolio efficiency tests based on stochastic dominance and co-integration ⋮ ORDERING OF RISKS AND WEIGHTED COMPOUND DISTRIBUTIONS ⋮ Unnamed Item ⋮ Testing for Restricted Stochastic Dominance ⋮ Four-decision tests for stochastic dominance, with an application to environmental psychophysics ⋮ Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection ⋮ Unnamed Item ⋮ Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ On the General Deviation Measure and the Gini coefficient ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Spanning tests for Markowitz stochastic dominance ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Inequalities for stochastic flow shops and job shops ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players ⋮ Testing higher and infinite degrees of stochastic dominance for small samples: a Bayesian approach ⋮ Distorted stochastic dominance: a generalized family of stochastic orders ⋮ New results for additive and multiplicative risk apportionment ⋮ Portfolio performance evaluation in a mean--variance--skewness framework ⋮ INSDECM -- an interactive procedure for stochastic multicriteria decision problems ⋮ Einige exakte und asymptotische Ergebnisse für das Standardmodell der Portefeuille-Auswahl innerhalb einer Periode ⋮ General Stochastic Dominance Rules ⋮ Stochastic dominance relations for generalised parametric distributions obtained through composition ⋮ A note on almost stochastic dominance ⋮ A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES ⋮ The quantitative importance of criteria with a continuous first-order metric scale ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Stochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation Approach ⋮ Diversification benefits in the cryptocurrency market under mild explosivity ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ Extending the MAD portfolio optimization model to incorporate downside risk aversion ⋮ On measuring welfare `behind a veil of ignorance' ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ A general theory of risk apportionment ⋮ Economic indices of absolute and relative riskiness ⋮ Manufacturing quality density, control and maintenance ⋮ Learning to make risk neutral choices in a symmetric world ⋮ BALAYAGE MONOTONOUS RISK MEASURES ⋮ Stop-loss dominance ⋮ Financial risk of project's cost ⋮ Bounds on the value of information in uncertain decision problems II ⋮ Testing for risk aversion: A stochastic dominance approach ⋮ The utility of deductibles from the insurer's point of view ⋮ Optimal Financial Portfolios ⋮ Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China ⋮ El problema de seleccion de la cartera en un mercado logaritmico-normal con criterio de utilidad R-∈ ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION ⋮ Asymptotic stochastic dominance rules for sums of i.i.d. random variables ⋮ Revisiting generalized almost stochastic dominance ⋮ The benefits of differential variance-based constraints in portfolio optimization ⋮ Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging ⋮ Lorenz ranking of income distributions ⋮ A Bowley solution with limited ceded risk for a monopolistic reinsurer ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices ⋮ ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY ⋮ Multivariate Concave and Convex Stochastic Dominance ⋮ Risk Arbitrage Opportunities for Stock Index Options ⋮ Incomplete risk-preference information in portfolio decision analysis ⋮ (In)existence of equilibria for 2-player, 2-value games with semistrictly quasiconcave cost functions ⋮ On the relationship between comparisons of risk aversion of different orders ⋮ Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory ⋮ Myopic loss aversion and margin of safety: the risk of value investing ⋮ The weekly pattern of commercial paper across different trading-day regimes ⋮ Optimal leverage from non-ergodicity ⋮ Central moments, stochastic dominance, moment rule, and diversification with an application ⋮ Generalized concavity of a function in portfolio theory ⋮ General linear formulations of stochastic dominance criteria ⋮ Optimal path problems with second-order stochastic dominance constraints ⋮ Preference and veto thresholds in multicriteria analysis based on stochastic dominance ⋮ Invariant risk attitudes ⋮ The complexity of equilibria for risk-modeling valuations ⋮ A new rank dependent utility approach to model risk averse preferences in portfolio optimization ⋮ Stochastic dominance: A bibliographical rectification and a restatement of Whitmore's theorem ⋮ Expectation dependence of random variables, with an application in portfolio theory ⋮ Density inference for ranking European research systems in the field of economics ⋮ Risk averse decision making under catastrophic risk ⋮ Profit criteria involving risk in price setting of virtual products ⋮ On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ A numerical evaluation of meta-heuristic techniques in portfolio optimisation ⋮ Endogenous participation risk in speculative markets ⋮ Sequential procurement auctions with risk-averse suppliers ⋮ Ordinal Bayesian incentive compatible representations of committees ⋮ Deductible insurance and production ⋮ Weak orderings for intersecting Lorenz curves ⋮ Increasing risk, decreasing absolute risk aversion and diversification ⋮ The timing of annuitization: Investment dominance and mortality risk ⋮ Relaxations of linear programming problems with first order stochastic dominance constraints ⋮ Instrument effects and stochastic dominance ⋮ Stress caused by waiting: A theoretical evaluation of a mathematical model ⋮ Portfolio optimization based on stochastic dominance and empirical likelihood ⋮ A nonparametric quantity-of-quality approach to assessing financial asset return performance ⋮ Risk aversion and optimal forest replanting: a stochastic efficiency study ⋮ The search for information -- a patient perspective on multiple opinions ⋮ Stochastic dominance and mean-variance measures of profit and loss for business planning and investment ⋮ Supermodularity and the comparative statics of risk ⋮ Optimal privatization portfolios in the presence of arbitrary risk aversion ⋮ Second-order stochastic dominance constrained portfolio optimization: theory and computational tests ⋮ On the theory of risk aversion and the theory of risk ⋮ Nonparametric comparative revealed risk aversion ⋮ A computational intelligence method for solving a class of portfolio optimization problems ⋮ Approximating the admissible set in stochastic dominance ⋮ Large deviations theorems for optimal investment problems with large portfolios ⋮ Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison ⋮ Probability dominance in random outcomes ⋮ Multivariate decisions with unknown price vector ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Crossing points of distributions and a theorem that relates them to second order stochastic dominance ⋮ Scenario-based portfolio selection of investment projects with incomplete probability and utility information ⋮ Tractable almost stochastic dominance ⋮ Rothschild and Stiglitz's mean preserving: revisited ⋮ On comparing equilibrium and optimum payoffs in a class of discrete bimatrix games ⋮ Currency returns, market regimes and behavioral biases ⋮ The variability of male quality and female mate choice decisions: Second-order stochastic dominance and the behavior of searchers under a sequential search strategy ⋮ Stock options and capital structure ⋮ Variance stochastic orders ⋮ Preferences over location-scale family ⋮ Portfolio choice under noisy asset returns ⋮ Insurance and decision-taking ⋮ Testing for central dominance: method and application ⋮ Exploring the robustness of country rankings by educational attainment ⋮ Second-order stochastic dominance for decomposable multiparametric families with applications to order statistics ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ Almost stochastic dominance and stocks for the long run ⋮ Stochastic dominance theory for location-scale family ⋮ Indexing gamble desirability by extending proportional stochastic dominance ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Building a binary outranking relation in uncertain, imprecise and multi-experts contexts: the application of evidence theory ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Pure strategy Nash equilibria and the probabilistic prospects of Stackelberg players ⋮ Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model ⋮ The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test ⋮ Efficient random variables ⋮ Increasing uncertainty: a definition ⋮ Actualist rationality ⋮ Binary choice probabilities between gambles: Interlocking expected utility models ⋮ Continua of stochastic dominance relations for bounded probability distributions ⋮ The definition of risk: An extension ⋮ Choice among distributions ⋮ Economically relevant preferences for all observed epsilon ⋮ Stochastic specification of production functions and economic implications ⋮ Semi-nonparametric test of second degree stochastic dominance with respect to a function ⋮ Apportioning of risks via stochastic dominance ⋮ Stochastic dominance in multi sampling environments ⋮ Multiattribute utility functions, partial information on coefficients, and efficient choice ⋮ An empirical analysis of term premiums using significance tests for stochastic dominance ⋮ Use of stochastic and mathematical programming in portfolio theory and practice ⋮ Characterizing the efficient set when preferences are state-dependent ⋮ The interface between OR/MS and decision theory ⋮ Monotone imitation ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach ⋮ Financial returns and efficiency as seen by an artificial technical analyst ⋮ Multivariate decision-making ⋮ Convex stochastic dominance with finite consequence sets ⋮ Increasing risk and equilibrium under uncertainty ⋮ Efficiency analysis of deductible insurance policies ⋮ The comparative statics of cumulative distribution function changes for the class of risk averse agents ⋮ Stochastic dominance and parameter estimation: The case of symmetric stable distributions ⋮ Risk-aversely efficient random variables: Characterization and an application to growth under uncertainty ⋮ A note on Bernoulli's principle and probability dominance ⋮ Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities ⋮ Univariate and multivariate measures of risk aversion and risk premiums ⋮ Safety-first analysis and stable Paretian approach to portfolio choice theory ⋮ Mean-variance and expected utility: the Borch paradox ⋮ Path comparisons for a priori and time-adaptive decisions in stochastic, time-varying networks ⋮ From stochastic dominance to mean-risk models: Semideviations as risk measures ⋮ Production decisions in case of monotone likelihood ratio shifts of cumulative distribution functions ⋮ Instrument-dependent randomness and increases in risk
This page was built for publication: The Efficiency Analysis of Choices Involving Risk
