The non-integer higher-order stochastic dominance

DOI10.1016/J.ORL.2018.12.006MaRDI QIDQ2294272zbMATH OpenOpenAlexWikidataFDO

Authors Wei Zhu, Hongwei Bi

Publication date 10 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2018.12.006

zbMATH Keywords

\((2 + \gamma)\)-stochastic dominance\((n + \gamma)\)-stochastic dominancerisk averserisk loving

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06)

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Cites work

• Expectation dependence of random variables, with an application in portfolio theory
• Exploring higher order risk effects
• Higher order risk attitudes, demographics, and financial decisions
• Increasing risk, decreasing absolute risk aversion and diversification
• Mixed risk aversion
• Smooth generators of integral stochastic orders.
• The demand for a risky asset in the presence of a background risk

Cited in

(11)

• Stochastic dominance in an ordinal world
• Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
• Fraction-degree reference dependent stochastic dominance
• Nonmonotonic risk preferences over lottery comparison
• Distorted stochastic dominance: a generalized family of stochastic orders
• Toward Graded and Nongraded Variants of Stochastic Dominance
• Stochastic dominance of higher orders and its implications
• Further properties of fractional stochastic dominance
• Almost Higher Order Stochastic Dominance
• Fractional-degree expectation dependence
• Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: a buy-and-hold backtesting strategy

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