Standard stochastic dominance

DOI10.1016/J.EJOR.2015.08.038MaRDI QIDQ320827zbMATH OpenOpenAlexFDO

Authors Thierry Post

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2015.08.038

zbMATH Keywords

decision theorylinear programmingportfolio theorystandard risk aversionstochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Linear programming (90C05) Portfolio theory (91G10)

Recommendations

• General linear formulations of stochastic dominance criteria
• Higher-degree stochastic dominance optimality and efficiency
• Stochastic dominance: convexity and some efficiency tests
• Stochastic dominance tests
• Prospect and Markowitz stochastic dominance

Cites work

• A Test of the Efficiency of a Given Portfolio
• Choice among distributions
• Decision making under uncertainty with unknown utility function and rank-ordered probabilities
• Decreasing Absolute Risk Aversion and Option Pricing Bounds
• Enhanced indexation based on second-order stochastic dominance
• General linear formulations of stochastic dominance criteria
• Marginal Conditional Stochastic Dominance
• Mixed risk aversion
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• Portfolio construction based on stochastic dominance and target return distributions
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Second Degree Stochastic Dominance with Respect to a Function
• Standard Risk Aversion
• Stochastic Dominance
• Stochastically weighted stochastic dominance concepts with an application in capital budgeting
• Testing for stochastic dominance efficiency
• The Construction of Utility Functions from Expenditure Data

Cited in

(13)

• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• Higher-degree stochastic dominance optimality and efficiency
• DEA models equivalent to general $N$th order stochastic dominance efficiency tests
• The family of alpha,[a,b] stochastic orders: risk vs. expected value
• General linear formulations of stochastic dominance criteria
• Marginal Conditional Stochastic Dominance
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
• Advancements in stochastic dominance efficiency tests
• The cost of uninformed market timing
• Measures of stochastic non-dominance in portfolio optimization
• Agency theory and higher-order risk changes
• Almost stochastic dominance and stocks for the long run

This page was built for publication: Standard stochastic dominance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320827)