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Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?

Author

Listed:
  • Anissa Chaibi
  • Maria-Lenuta Ciupac-Ulici
  • Mircea-Cristian Gherman

Abstract

In this study, we contribute to the literature of stochastic dominance by studying the effect of generalized first and second order stochastic dominance changes on returns distribution of financial time series. This paper contributes to the existing liter

Suggested Citation

  • Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-130
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_130.pdf
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    References listed on IDEAS

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    4. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 735-765.
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    8. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
    9. Dionne, Georges & Gollier, Christian, 1996. "A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets," Journal of Risk and Uncertainty, Springer, vol. 13(2), pages 147-162, September.
    10. McCarl, Bruce A., 1990. "Generalized Stochastic Dominance: An Empirical Examination," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(01), pages 1-7, December.
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    12. Frank Cowell & Maria-Pia Victoria-Feser, 2007. "Robust stochastic dominance: A semi-parametric approach," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 5(1), pages 21-37, April.
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