Levy and Wiener (1998), Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationshi...
Stochastic dominance is a more general approach to expected utility maximization than the widely acc...
In this study, we investigate whether sector-weighted portfolios based on alternative parametric ass...
In this paper, we first extend the stochastic dominance (SD) theory by introducing the first three o...
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-sha...
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-sha...
Prospect and Markowitz Stochastic Dominance Levy and Wiener (1998), Levy and Levy (2002, 2004) devel...
This paper studies some properties of stochastic dominance (SD) for risk-averse and risk-seeking inv...
In order to rank investments under uncertainty, the most widely used method is mean variance analysi...
We generalize and extend the second order stochastic dominance condition available for Expected Util...
This paper presents some interesting new properties of third order stochastic dominance (TSD) for ri...
This paper first extends the theory of almost stochastic dominance (ASD) to the first four orders. W...
In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors t...
Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the c...
This note provides new and simpler conditions ensuring that, when one portfolio dominates another vi...
In the present work we study the stochastic dominance portfolio e ciency measures. The investor's ri...
Stochastic dominance is a more general approach to expected utility maximization than the widely acc...
In this study, we investigate whether sector-weighted portfolios based on alternative parametric ass...
In this paper, we first extend the stochastic dominance (SD) theory by introducing the first three o...
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-sha...
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-sha...
Prospect and Markowitz Stochastic Dominance Levy and Wiener (1998), Levy and Levy (2002, 2004) devel...
This paper studies some properties of stochastic dominance (SD) for risk-averse and risk-seeking inv...
In order to rank investments under uncertainty, the most widely used method is mean variance analysi...
We generalize and extend the second order stochastic dominance condition available for Expected Util...
This paper presents some interesting new properties of third order stochastic dominance (TSD) for ri...
This paper first extends the theory of almost stochastic dominance (ASD) to the first four orders. W...
In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors t...
Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the c...
This note provides new and simpler conditions ensuring that, when one portfolio dominates another vi...
In the present work we study the stochastic dominance portfolio e ciency measures. The investor's ri...
Stochastic dominance is a more general approach to expected utility maximization than the widely acc...
In this study, we investigate whether sector-weighted portfolios based on alternative parametric ass...
In this paper, we first extend the stochastic dominance (SD) theory by introducing the first three o...