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The Efficiency Analysis of Choices Involving Risk

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  1. Haim Levy & Enrico G. De Giorgi & Thorsten Hens, 2012. "Two Paradigms and Nobel Prizes in Economics: a Contradiction or Coexistence?," European Financial Management, European Financial Management Association, vol. 18(2), pages 163-182, March.
  2. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," STICERD - Econometrics Paper Series 433, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Ewa Michalska & Renata Dudzinska-Baryla, 2012. "Comparison of the valuations of alternatives based on cumulative prospect theory and almost stochastic dominance," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 23-36.
  4. Peter Lambert, 2007. "Editorial : Serge Kolm’s “The Optimal Production of Social Justice”," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 5(2), pages 213-234, August.
  5. Zhuo Qiao & Ephraim Clark & Wing-Keung Wong, 2014. "Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 251-274, March.
  6. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  7. Fong, Wai Mun, 2016. "Stochastic dominance and the omega ratio," Finance Research Letters, Elsevier, vol. 17(C), pages 7-9.
  8. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  9. Willis, Cleve E. & Aklilu, Petros, 1973. "Flood Proofing Decisions Under Uncertainty," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 0(Number 2), pages 1-16, October.
  10. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
  11. Challe, Edouard, 2008. "Endogenous participation risk in speculative markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2148-2164, July.
  12. Grant, Simon & Quiggin, John, 2005. "Increasing uncertainty: a definition," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 117-141, March.
  13. Kakwani, Nanak, 1991. "Growth rates and aggregate welfare : an international comparison," Policy Research Working Paper Series 647, The World Bank.
  14. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
  15. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
  16. Richard MacMinn & Frank Page, 2006. "Stock options and capital structure," Annals of Finance, Springer, vol. 2(1), pages 39-50, January.
  17. 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.
  18. Wojtek Michalowski & Włodzimierz Ogryczak, 2001. "Extending the MAD portfolio optimization model to incorporate downside risk aversion," Naval Research Logistics (NRL), John Wiley & Sons, vol. 48(3), pages 185-200, April.
  19. Aiyagari, S. Rao & Christiano, Lawrence J. & Eichenbaum, Martin, 1992. "The output, employment, and interest rate effects of government consumption," Journal of Monetary Economics, Elsevier, vol. 30(1), pages 73-86, October.
  20. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
  21. Broll, Udo & Wong, Wing-Keung & Wu, Mojia, 2013. "Banking Firm and Two-Moment Decision Making," MPRA Paper 51687, University Library of Munich, Germany.
  22. King, Robert P., 1979. "Operational Techniques for Applied Decision Analysis Under Uncertainty," AAEA Fellows - Dissertations and Theses, Agricultural and Applied Economics Association, number 181951, December.
  23. 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.
  24. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 119-146, October.
  25. Yangxuan Liu & Michael R. Langemeier & Ian M. Small & Laura Joseph & William E. Fry & Jean B. Ristaino & Amanda Saville & Benjamin M. Gramig & Paul V. Preckel, 2018. "A Risk Analysis of Precision Agriculture Technology to Manage Tomato Late Blight," Sustainability, MDPI, Open Access Journal, vol. 10(9), pages 1-19, August.
  26. Wu, Xing & (Marco) Nie, Yu, 2011. "Modeling heterogeneous risk-taking behavior in route choice: A stochastic dominance approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 45(9), pages 896-915, November.
  27. Yassour, Joseph & Zilberman, David D & Rausser, Gordon C., 1980. "Option choices among alternative technologies with stochastic yield," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8xq1b77m, Department of Agricultural & Resource Economics, UC Berkeley.
  28. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1-40, December.
  29. Anderson, Jock R., 1974. "Risk Efficiency in the Interpretation of Agricultural Production Research," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 42(03), pages 1-54, September.
  30. Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, Open Access Journal, vol. 8(1), pages 1-51, March.
  31. Zentner, Robert P. & Greene, Duty D. & Hickenbotham, Terry L. & Eidman, Vernon R., 1981. "Ordinary And Generalized Stochastic Dominance: A Primer," Staff Papers 14184, University of Minnesota, Department of Applied Economics.
  32. Grazyna Trzpiot, 2000. "Preference Relations In Ranking Multivalued Alternatives Using Stochastic Dominance: Case Of The Warsaw Stock Exchange," Computing in Economics and Finance 2000 98, Society for Computational Economics.
  33. Sergiu Hart & Philip J. Reny, 2015. "Implementation of reduced form mechanisms: a simple approach and a new characterization," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(1), pages 1-8, April.
  34. Wu, Xing, 2015. "Study on mean-standard deviation shortest path problem in stochastic and time-dependent networks: A stochastic dominance based approach," Transportation Research Part B: Methodological, Elsevier, vol. 80(C), pages 275-290.
  35. 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.
  36. John Quiggin & Robert Chambers, 2007. "Supermodularity and the Comparative Statics of Risk," Theory and Decision, Springer, vol. 62(2), pages 97-117, March.
  37. Addae-Dapaah, Kwame & Tan Yong Hwee, Wilfred, 2009. "The unsung impact of currency risk on the performance of international real property investment," Review of Financial Economics, Elsevier, vol. 18(1), pages 56-65, January.
  38. Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
  39. Post, G.T., 2001. "LP Tests for MV Efficiency," ERIM Report Series Research in Management ERS-2001-66-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  40. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
  41. Eidman, Vernon R., 1989. "Quantifying And Managing Risk In Agriculture," Staff Papers 13646, University of Minnesota, Department of Applied Economics.
  42. Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 481-494.
  43. Doron Nisani, 2019. "Ranking Investments Using the Lorenz Curve," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 1-9, March.
  44. Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
  45. Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December.
  46. Basu, Shankha & Savani, Krishna, 2017. "Choosing one at a time? Presenting options simultaneously helps people make more optimal decisions than presenting options sequentially," Organizational Behavior and Human Decision Processes, Elsevier, vol. 139(C), pages 76-91.
  47. Vivian Carstensen, 2013. "The German Labor Market Miracle Revisited: Risk Elimination in Working Time Accounts," Eurasian Journal of Social Sciences, Eurasian Publications, vol. 1(1), pages 19-38.
  48. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
  49. Haim Levy & Zvi Lerman, 1988. "Testing The Predictive Power Of Ex-Post Efficient Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 241-254, September.
  50. Becker, N., 1999. "A comparative analysis of water price support versus drought compensation scheme," Agricultural Economics, Blackwell, vol. 21(1), pages 81-92, August.
  51. Eeckhoudt, Louis & Bauwens, Luc & Lebrun, Thérèse, 1987. "Théorie de l’information et diagnostic médical : une analyse coût-efficacité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 243-255, juin et s.
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  53. Hardaker, J. Brian & Lien, Gudbrand D., 2003. "Stochastic Efficiency Analysis With Risk Aversion Bounds: A Simplified Approach," Working Papers 12954, University of New England, School of Economics.
  54. Tsung-Sheng Chang & Linda K. Nozick & Mark A. Turnquist, 2005. "Multiobjective Path Finding in Stochastic Dynamic Networks, with Application to Routing Hazardous Materials Shipments," Transportation Science, INFORMS, vol. 39(3), pages 383-399, August.
  55. 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.
  56. Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
  57. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
  58. Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.
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  60. Zhuo Qiao & Wing-Keung Wong, 2015. "Which is a better investment choice in the Hong Kong residential property market: a big or small property?," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1670-1685, April.
  61. Chun-Kei Tsang & Wing-Keung Wong & Ira Horowitz, 2016. "Arbitrage opportunities, efficiency, and the role of risk preferences in the Hong Kong property market," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(4), pages 735-754, October.
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  64. Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019. "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, vol. 21(3), pages 201-213, September.
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  66. Simon Dietz & Nicoleta Anca Matei, 2016. "Spaces for Agreement: A Theory of Time-Stochastic Dominance and an Application to Climate Change," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 3(1), pages 85-130.
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