Stochastic Dominance among Log-Normal Prospects

DOI10.2307/2525973MaRDI QIDQ5181499zbMATH OpenOpenAlexFDO

Authors Haim Levy

Publication date 1973

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2525973

Mathematics Subject Classification ID

Utility theory (91B16) Trade models (91B60) Economic time series analysis (91B84)

Cited in

(11)

• An inter-temporal CAPM based on first order stochastic dominance
• Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
• Operational asymptotic stochastic dominance
• Analysis of Kelly-optimal portfolios
• Bayesian enrichment strategies for randomized discontinuation trials
• Estimation of error probabilities in stochastic dominance
• Portfolio selection in a lognormal securities market
• Investment diversification and investment specialization and the assumed holding period
• Generalized framework for applying the Kelly criterion to stock markets
• Improved bounds for stochastic extensible bin packing under distributional assumptions
• The cost of uninformed market timing

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