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Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors

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

Abstract

In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 51744.

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Date of creation: 27 Nov 2013
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Handle: RePEc:pra:mprapa:51744

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Keywords: Almost Stochastic Dominance; expected-utility maximization; risk averters; risk seekers.;

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  1. EECKHOUDT, Louis & SCHLESINGER, Harris, . "Putting risk in its proper place," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1871, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. 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, National University of Singapore, Department of Economics, SCAPE 0705, National University of Singapore, Department of Economics, SCAPE.
  3. Thierry Post & Haim Levy, 2005. "Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 18(3), pages 925-953.
  4. Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, American Economic Association, vol. 70(5), pages 921-32, December.
  5. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 817-830, September.
  6. Michel M. Denuit & Louis Eeckhoudt, 2010. "A General Index of Absolute Risk Attitude," Management Science, INFORMS, INFORMS, vol. 56(4), pages 712-715, April.
  7. EECKHOUDT, Louis & SCHELSINGER, Harris & TSETLIN, Ilia, . "Apportioning of risks via stochastic dominance," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -2096, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute.
  9. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2013. "Moment Conditions for Almost Stochastic Dominance," MPRA Paper 51725, University Library of Munich, Germany.
  10. Whitmore, G A, 1970. "Third-Degree Stochastic Dominance," American Economic Review, American Economic Association, American Economic Association, vol. 60(3), pages 457-59, June.
  11. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 68(1), pages 194-208, October.
  12. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 42676, University Library of Munich, Germany.
  13. Meyer, Jack, 1977. "Second Degree Stochastic Dominance with Respect to a Function," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 477-87, June.
  14. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, American Economic Association, vol. 59(1), pages 25-34, March.
  15. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, INFORMS, vol. 38(4), pages 555-593, April.
  16. Levy, Moshe, 2009. "Almost Stochastic Dominance and stocks for the long run," European Journal of Operational Research, Elsevier, Elsevier, vol. 194(1), pages 250-257, April.
  17. Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 60, pages 151.
  18. Moshe Leshno & Haim Levy, 2002. "Preferred by "All" and Preferred by "Most" Decision Makers: Almost Stochastic Dominance," Management Science, INFORMS, INFORMS, vol. 48(8), pages 1074-1085, August.
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