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

Author Info

  • 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

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-130.

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Length: 12 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-130
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Keywords: asset allocation; empirical distributions; stochastic dominance; utility function; risk aversion;

This paper has been announced in the following NEP Reports:

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  1. 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 147-62, September.
  2. Bruce A. McCarl & David A. Bessler, 1989. "Estimating An Upper Bound On The Pratt Risk A Version Coefficient When The Utility Function Is Unknown," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 33(1), pages 56-63, 04.
  3. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  4. Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," SFB 373 Discussion Papers 2003,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. Dachraoui, K. & Dionne, G., 2001. "Stochastic Dominance and Optimal Portfolio," Ecole des Hautes Etudes Commerciales de Montreal- 01-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  6. McCarl, Bruce A., 1990. "Generalized Stochastic Dominance: An Empirical Examination," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(02), December.
  7. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006.
  8. repec:ipg:wpaper:2013-024 is not listed on IDEAS
  9. Frank Cowell & Maria-Pia Victoria-Feser, 2007. "Robust stochastic dominance: A semi-parametric approach," Journal of Economic Inequality, Springer, vol. 5(1), pages 21-37, April.
  10. Meyer, Jack & Ormiston, Michael B, 1985. "Strong Increases in Risk and Their Comparative Statics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 425-37, June.
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