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Negative Moments, Risk Aversion, and Stochastic Dominance

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  • Thistle, Paul D.
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 28 (1993)
    Issue (Month): 02 (June)
    Pages: 301-311

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    Handle: RePEc:cup:jfinqa:v:28:y:1993:i:02:p:301-311_00

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    Cited by:
    1. Clark, Ephraim & Kassimatis, Konstantinos, 2012. "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1144-1151.
    2. Paul Makdissi & Quentin Wodon, 2002. "Can Safety Nets Offset the Impact of Risk on Wage Inequality and Social Welfare?," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 02-08, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised 2002.
    3. Milevsky, Moshe Arye & Panyagometh, Kamphol, 2001. "Variable annuities versus mutual funds: a Monte-Carlo analysis of the options," Financial Services Review, Elsevier, Elsevier, vol. 10(1-4), pages 145-161.
    4. Jean-Yves Duclos & Paul Makdissi, 2000. "Restricted and Unrestricted Dominance Welfare, Inequality and Povery Orderings," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 00-01, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    5. Jean-Yves Duclos & Paul Makdissi & Quentin Wodon, 2004. "Socially-Improving Tax Reforms," Cahiers de recherche, CIRPEE 0401, CIRPEE.
    6. Haim Shalit & Shlomo Yitzhaki, 2010. "How does beta explain stochastic dominance efficiency?," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 35(4), pages 431-444, November.
    7. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(4), pages 636-656, April.
    8. Belzunce, Félix & Gao, Xiaoli & Hu, Taizhong & Pellerey, Franco, 2004. "Characterizations of the hazard rate order and IFR aging notion," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 235-242, December.
    9. Vinod, H. D., 2004. "Ranking mutual funds using unconventional utility theory and stochastic dominance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(3), pages 353-377, June.
    10. Denuit, Michel, 2001. "Laplace transform ordering of actuarial quantities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 83-102, August.

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