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Revisiting generalized almost stochastic dominance

Author

Listed:
  • Jow-Ran Chang

    (National Tsing Hua University)

  • Wei-Han Liu

    (Institute of Management Technology)

  • Mao-Wei Hung

    (National Taiwan University)

Abstract

We review the Generalized Almost Stochastic Dominance definition in Tsetlin et al. (Oper Res 63(2):363–377, 2015). We follow the classic concept of stochastic dominance in minimizing specific assumptions about decision makers’ risk attitudes as highlighted by Levy (Manag Sci 38(4):555–593, 1992). We refine the definition of almost stochastic dominance by Leshno and Levy (Manag Sci 48(8):1074–1085, 2002) to secure economic intuition. We then present our definitions of almost stochastic dominance with an extension to the higher degrees. Our definition satisfies both expected utility maximization property and hierarchy property while minimizing assumption and securing economic intuition.

Suggested Citation

  • Jow-Ran Chang & Wei-Han Liu & Mao-Wei Hung, 2019. "Revisiting generalized almost stochastic dominance," Annals of Operations Research, Springer, vol. 281(1), pages 175-192, October.
    • Handle: RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2828-9
    DOI: 10.1007/s10479-018-2828-9
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    References listed on IDEAS

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    1. 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.
    2. Larry Y. Tzeng & Rachel J. Huang & Pai-Ta Shih, 2013. "Revisiting Almost Second-Degree Stochastic Dominance," Management Science, INFORMS, vol. 59(5), pages 1250-1254, May.
    3. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    4. 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.
    5. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    6. Ilia Tsetlin & Robert L. Winkler & Rachel J. Huang & Larry Y. Tzeng, 2015. "Generalized Almost Stochastic Dominance," Operations Research, INFORMS, vol. 63(2), pages 363-377, April.
    7. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    8. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 817-830, September.
    9. Moshe Leshno & Haim Levy, 2002. "Preferred by "All" and Preferred by "Most" Decision Makers: Almost Stochastic Dominance," Management Science, INFORMS, vol. 48(8), pages 1074-1085, August.
    10. Haim Levy & Moshe Leshno & Boaz Leibovitch, 2010. "Economically relevant preferences for all observed epsilon," Annals of Operations Research, Springer, vol. 176(1), pages 153-178, April.
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    Cited by:

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