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Almost stochastic dominance for risk averters and risk seeker

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  • Guo, Xu
  • Wong, Wing-Keung
  • Zhu, Lixing

Abstract

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

Suggested Citation

  • Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2016. "Almost stochastic dominance for risk averters and risk seeker," Finance Research Letters, Elsevier, vol. 19(C), pages 15-21.
  • Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:15-21
    DOI: 10.1016/j.frl.2016.05.005
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    More about this item

    Keywords

    Almost stochastic dominance; Generalized almost stochastic dominance; Expected-utility maximization; Risk averters; Risk seekers; Moments;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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