Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors
In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.
|Date of creation:||27 Nov 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Louis Eeckhoudt & Harris Schlesinger, 2005.
"Putting Risk in its Proper Place,"
CESifo Working Paper Series
1462, CESifo Group Munich.
- Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2013. "Moment Conditions for Almost Stochastic Dominance," MPRA Paper 51725, University Library of Munich, Germany.
- 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.
- Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
- Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 42676, University Library of Munich, Germany.
- Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
- repec:dgr:uvatin:20020070 is not listed on IDEAS
- Michel M. Denuit & Louis Eeckhoudt, 2010.
"A General Index of Absolute Risk Attitude,"
INFORMS, vol. 56(4), pages 712-715, April.
- 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 477-87, June.
- Levy, Moshe, 2009. "Almost Stochastic Dominance and stocks for the long run," European Journal of Operational Research, Elsevier, vol. 194(1), pages 250-257, April.
- Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
- 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.
- Wing-Keung Wong, 2007.
"Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment,"
SCAPE Policy Research Working Paper Series
0705, National University of Singapore, Department of Economics, SCAPE.
- 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.
- Eeckhoudt, Louis & Schlesinger, Harris & Tsetlin, Ilia, 2009.
"Apportioning of risks via stochastic dominance,"
Journal of Economic Theory,
Elsevier, vol. 144(3), pages 994-1003, May.
- Louis Eeckhoudt & Harris Schlesinger & Ilia Tsetlin, 2008. "Apportioning of Risks via Stochastic Dominance," CESifo Working Paper Series 2467, CESifo Group Munich.
- EECKHOUDT, Louis & SCHELSINGER, Harris & TSETLIN, Ilia, . "Apportioning of risks via stochastic dominance," CORE Discussion Papers RP -2096, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
- Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, vol. 60, pages 151.
- Thierry Post & Haim Levy, 2005. "Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 925-953.
- Whitmore, G A, 1970. "Third-Degree Stochastic Dominance," American Economic Review, American Economic Association, vol. 60(3), pages 457-59, June.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:51744. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.