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  • Wing-Keung Wong

    ()

  • Chenghu Ma

Abstract

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File URL: http://hdl.handle.net/10.1007/s00199-007-0254-3
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 37 (2008)
Issue (Month): 1 (October)
Pages: 119-146

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Handle: RePEc:spr:joecth:v:37:y:2008:i:1:p:119-146

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Related research

Keywords: Location-scale family; Inverse problem; Non-expected utility function; Stochastic dominance; Location-scale dominance; Mean-variance rule; G11; C60; G10;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February.
  2. Menahem E. Yaari, 1984. "Risk Aversion Without Diminishing Marginal Utility," STICERD - Theoretical Economics Paper Series 106, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Broll, Udo & Wahl, Jack E. & Wong, Wing-Keung, 2006. "Elasticity of risk aversion and international trade," Economics Letters, Elsevier, vol. 92(1), pages 126-130, July.
  4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  5. Sinn, Hans-Werner, 1990. " Expected Utility, mu-sigma Preferences, and Linear Distribution Classes: A Further Result," Journal of Risk and Uncertainty, Springer, vol. 3(3), pages 277-81, September.
  6. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
  7. Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
  8. Tim Schulteis & Andres Perea & Hans Peters & Dries Vermeulen, 2007. "Revision of conjectures about the opponent’s utilities in signaling games," Economic Theory, Springer, vol. 30(2), pages 373-384, February.
  9. Mark Machina, 2005. "‘Expected utility / subjective probability’ analysis without the sure-thing principle or probabilistic sophistication," Economic Theory, Springer, vol. 26(1), pages 1-62, 07.
  10. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  11. Thomas Eichner & Andreas Wagener, 2001. "More on Parametric Characterizations of Risk Aversion and Prudence," Volkswirtschaftliche Diskussionsbeiträge 99-01, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
  12. Chew, Soo Hong, 1983. "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox," Econometrica, Econometric Society, vol. 51(4), pages 1065-92, July.
  13. Levy, Haim & Wiener, Zvi, 1998. "Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions," Journal of Risk and Uncertainty, Springer, vol. 16(2), pages 147-63, May-June.
  14. Juan Martínez-Legaz & John Quah, 2007. "A contribution to duality theory, applied to the measurement of risk aversion," Economic Theory, Springer, vol. 30(2), pages 337-362, February.
  15. Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-52, June.
  16. Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-28, June.
  17. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
  18. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
  19. Lajeri, Fatma & Nielsen, Lars Tyge, 1997. "Parametric Characterizations of Risk Aversion and Prudence," CEPR Discussion Papers 1650, C.E.P.R. Discussion Papers.
  20. Peter Klibanoff & Emre Ozdenoren, 2007. "Subjective recursive expected utility," Economic Theory, Springer, vol. 30(1), pages 49-87, January.
  21. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
  22. Thomas Eichner, 2005. "Comparative statics of properness in two-moment decision models," Economic Theory, Springer, vol. 25(4), pages 1007-1012, 06.
  23. Ma, Chenghu, 1993. "Market Equilibrium with Heterogenous Recursive-Utility-Maximizing Agents," Economic Theory, Springer, vol. 3(2), pages 243-66, April.
  24. William Neilson, 2006. "Axiomatic reference-dependence in behavior toward others and toward risk," Economic Theory, Springer, vol. 28(3), pages 681-692, 08.
  25. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
  26. Machina, Mark J, 1982. "A Stronger Characterization of Declining Risk Aversion," Econometrica, Econometric Society, vol. 50(4), pages 1069-79, July.
  27. Wing-Keung Wong, 2007. "Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment," SCAPE Policy Research Working Paper Series 0705, National University of Singapore, Department of Economics, SCAPE.
  28. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  29. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June.
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Citations

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Cited by:
  1. Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Report EI 2010-37, Erasmus University Rotterdam, Econometric Institute.
  2. Guo, Xu & Lam, Kin & Wong, Wing-Keung & Zhu, Lixing, 2012. "A New Pseudo-Bayesian Model of Investors' Behavior in Financial Crises," MPRA Paper 42535, University Library of Munich, Germany.
  3. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series CARF-F-201, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  4. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.

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