Extensions On Stochastic Dominance Efficiency Tests
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| Author | : Markku Kallio |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions. Their relevance in practice arises from empirical evidence on individual preferences fitting to preference models underlying such stochastic dominance relations. Assuming a known, discrete and finite probability distribution we derive necessary and sufficient efficiency tests under the six types of stochastic dominance. Simple arguments yield well-known SSD and TSD efficiency tests which are subsequently used to develop new FOSD, FISD, DSD and ESD efficiency tests. We provide numerical demonstration using stock market data of the US.
| Author | : Yoon-Jae Whang |
| Publisher | : Cambridge University Press |
| Total Pages | : 279 |
| Release | : 2019-01-31 |
| Genre | : Business & Economics |
| ISBN | : 1108690475 |
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
| Author | : Timo Kuosmanen |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2001 |
| Genre | : Investment analysis |
| ISBN | : 9789517916189 |
| Author | : Andrey M. Lizyayev |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
| Author | : Oliver B. Linton |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in moderate sized samples.
| Author | : Thomas B. Fomby |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 233 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1461389224 |
Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
| Author | : Haim Levy |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 439 |
| Release | : 2006-08-25 |
| Genre | : Business & Economics |
| ISBN | : 0387293116 |
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
| Author | : Thierry Post |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. Using our tests, the Fama and French market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book-to-market equity ratio.
| Author | : Philippe Johannes Petrus Marie Versijp |
| Publisher | : Rozenberg Publishers |
| Total Pages | : 128 |
| Release | : 2007 |
| Genre | : |
| ISBN | : 9051709358 |
