Stochastic Dominance and the Maximization of Expected Utility
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- Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010.
"Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach,"
Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," KIER Working Papers 718, Kyoto University, Institute of Economic Research.
- 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.
- Alaouze, Chris M., 1991. "Transferable Water Entitlements Which Satisfy Heterogeneous Risk Preferences," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 35(2), pages 1-12, August.
- W. Wong & R. Chan, 2008.
"Prospect and Markowitz stochastic dominance,"
Annals of Finance, Springer, vol. 4(1), pages 105-129, January.
- Wing-Keung Wong & Raymond H. Chan, 2005. "Prospect and Markowitz Stochastic Dominance," Monash Economics Working Papers 08/05, Monash University, Department of Economics.
- Wing-Keung Wong & Raymond H. Chan, 2005. "Prospect and Markowitz Stochastic Dominance," Departmental Working Papers wp0505, National University of Singapore, Department of Economics.
- Fan, Yanqin & Park, Sang Soo, 2009. "Partial identification of the distribution of treatment effects and its confidence sets," MPRA Paper 37148, University Library of Munich, Germany.
- Ewerhart, Christian & Tapking, Jens, 2008. "Repo markets, counterparty risk and the 2007/2008 liquidity crisis," Working Paper Series 909, European Central Bank.
- Egozcue, Martin & Wong, Wing-Keung, 2010. "Gains from diversification on convex combinations: A majorization and stochastic dominance approach," European Journal of Operational Research, Elsevier, vol. 200(3), pages 893-900, February.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007.
"Stochastic Dominance Analysis of iShares,"
The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," Finance Working Papers 21919, East Asian Bureau of Economic Research.
- Li, Jingyuan, 2011. "The demand for a risky asset in the presence of a background risk," Journal of Economic Theory, Elsevier, vol. 146(1), pages 372-391, January.
- Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
- 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 Research Papers
EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011. "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers 755, Kyoto University, Institute of Economic Research.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series CIRJE-F-744, CIRJE, Faculty of Economics, University of Tokyo.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," Working Papers in Economics 10/22, University of Canterbury, Department of Economics and Finance.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CARF F-Series CARF-F-220, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Broll, Udo & Wong, Wing-Keung & Wu, Mojia, 2013. "Banking Firm and Two-Moment Decision Making," MPRA Paper 51687, University Library of Munich, Germany.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013.
"Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures,"
Documentos de Trabajo del ICAE
2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Working Papers in Economics 13/30, University of Canterbury, Department of Economics and Finance.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Econometric Institute Research Papers EI 2013-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Tinbergen Institute Discussion Papers 13-132/III, Tinbergen Institute.
- Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
- Wong, Wing-Keung, 2007.
"Stochastic dominance and mean-variance measures of profit and loss for business planning and investment,"
European Journal of Operational Research, Elsevier, vol. 182(2), pages 829-843, October.
- Wing-Keung Wong, 2007. "Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment," Finance Working Papers 21922, East Asian Bureau of Economic Research.
- Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G., 2006.
"Consistent measures of risk,"
LSE Research Online Documents on Economics
24517, London School of Economics and Political Science, LSE Library.
- Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
- Dionne, Georges & Li, Jingyuan, 2014. "When can expected utility handle first-order risk aversion?," Journal of Economic Theory, Elsevier, vol. 154(C), pages 403-422.
- 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.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers EI 2010-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007.
"Stochastic Dominance Analysis of iShares,"
The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," Finance Working Papers 21919, East Asian Bureau of Economic Research.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," SCAPE Policy Research Working Paper Series 0706, National University of Singapore, Department of Economics, SCAPE.
- Jingyuan Li, 2012. "Precautionary saving in the presence of labor income and interest rate risks," Journal of Economics, Springer, vol. 106(3), pages 251-266, July.
- Brendan Kline, 2016. "Identification of the Direction of a Causal Effect by Instrumental Variables," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 176-184, April.
- Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015. "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 204-216.
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