Prospect and Markowitz stochastic dominance

DOI10.1007/S10436-007-0072-4zbMATH Open1233.91098OpenAlexW3123820027MaRDI QIDQ665805FDOQ665805

Authors: Wing-Keung Wong, Raymond H. Chan 

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0072-4

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zbMATH Keywords

risk averserisk seekingmarkowitz stochastic dominanceprospect stochastic dominancereverse S-shaped utility functionS-shaped utility function

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Utility theory (91B16)

Cites Work

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Cited In (27)

• Multivariate stochastic dominance for risk averters and risk seekers
• Title not available (Why is that?)
• Central moments, stochastic dominance, moment rule, and diversification with an application
• Do investors like to diversify? A study of Markowitz preferences
• Nonmonotonic risk preferences over lottery comparison
• Indexing gamble desirability by extending proportional stochastic dominance
• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Prospect theory: much ado about nothing?
• Economically relevant preferences for all observed epsilon
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
• Gains from diversification on convex combinations: a majorization and stochastic dominance approach
• Standard stochastic dominance
• Orderings and Probability Functionals Consistent with Preferences
• Test statistics for prospect and Markowitz stochastic dominances with applications
• Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
• Maximum probability dominance and portfolio theory
• Capital market equilibrium with heterogeneous investors
• Segregation and integration: a study of the behaviors of investors with extended value functions
• When are two portfolios better than one? A prospect theory approach
• An inter-temporal CAPM based on first order stochastic dominance
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
• A theory of misperception in a stochastic dominance framework and its application to structured financial products
• The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions
• Value versus growth: stochastic dominance criteria
• Stochastic Dominance

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