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Prospect and Markowitz stochastic dominance

Listed author(s):
  • W. Wong

    ()

  • R. Chan

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File URL: http://hdl.handle.net/10.1007/s10436-007-0072-4
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 1 (January)
Pages: 105-129

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Handle: RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129
DOI: 10.1007/s10436-007-0072-4
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/finance/journal/10436/PS2

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  1. Udo Broll & Jack E. Wahl & Wing-Keung Wong, 2005. "Elasticity of risk aversion and international trade," Departmental Working Papers wp0510, National University of Singapore, Department of Economics.
  2. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
  3. Haim Falk & Haim Levy, 1989. "Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency," Management Science, INFORMS, vol. 35(4), pages 425-446, April.
  4. Pennings, J.M.E. & Smidts, A., 2002. "The Shape of Utility Functions and Organizational Behavior," ERIM Report Series Research in Management ERS-2002-18-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Levy, Haim & Wiener, Zvi, 1998. "Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions," Journal of Risk and Uncertainty, Springer, vol. 16(2), pages 147-163, May-June.
  6. Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013. "A note on almost stochastic dominance," Economics Letters, Elsevier, vol. 121(2), pages 252-256.
  7. Matthew Rabin, 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Econometrica, Econometric Society, vol. 68(5), pages 1281-1292, September.
  8. Machina, Mark J & Schmeidler, David, 1992. "A More Robust Definition of Subjective Probability," Econometrica, Econometric Society, vol. 60(4), pages 745-780, July.
  9. 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.
  10. Chris Starmer, 2000. "Developments in Non-expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk," Journal of Economic Literature, American Economic Association, vol. 38(2), pages 332-382, June.
  11. Kobberling, Veronika & Wakker, Peter P., 2005. "An index of loss aversion," Journal of Economic Theory, Elsevier, vol. 122(1), pages 119-131, May.
  12. Anderson, Gordon, 2004. "Toward an empirical analysis of polarization," Journal of Econometrics, Elsevier, vol. 122(1), pages 1-26, September.
  13. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
  14. Mikhail & Plott, Charles R., 1995. "Exchange Economies and Loss Exposure: Experiments Exploring Prospect Theory and Competitive Equilibria in Market Environments," Working Papers 909, California Institute of Technology, Division of the Humanities and Social Sciences.
  15. Ng Yew Kwang, 1965. "Why do People Buy Lottery Tickets? Choices Involving Risk and the Indivisibility of Expenditure," Journal of Political Economy, University of Chicago Press, vol. 73, pages 530-530.
  16. Mei Wang & Paul S. Fischbeck, 2004. "Incorporating Framing into Prospect Theory Modeling: A Mixture-Model Approach," Journal of Risk and Uncertainty, Springer, vol. 29(2), pages 181-197, 09.
  17. 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, vol. 18(2), pages 477-487, June.
  18. John S. Hammond, III, 1974. "Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear," Management Science, INFORMS, vol. 20(7), pages 1047-1072, March.
  19. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 73-92.
  20. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 1-53.
  21. Hersh Shefrin & Meir Statman, 1993. "Behavioral Aspects of the Design and Marketing of Financial Products," Financial Management, Financial Management Association, vol. 22(2), Summer.
  22. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
  23. Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
  24. Richard H. Thaler & Eric J. Johnson, 1990. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice," Management Science, INFORMS, vol. 36(6), pages 643-660, June.
  25. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
  26. Jarrow, Robert, 1986. " The Relationship between Arbitrage and First Order Stochastic Dominance," Journal of Finance, American Finance Association, vol. 41(4), pages 915-921, September.
  27. Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, vol. 60, pages 151-151.
  28. Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
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