Comonotonicity-based stochastic orders generated by single crossings of distributions with applications to attitudes to risk in the rank-dependent expected utility model

Monotone risk aversion

Nielsen, L.T.
Institut Europeen d'Administration des Affaires (INSEAD), 77 - Fontainebleau (France)

January 1997

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 5245 / INIST-CNRS -...

Positivity of bid-ask spreads and symmetrical monotone risk aversion

Abouda, Moez
Chateauneuf, Alain
Centre National de la Recherche Scientifique, 75 - Paris (France). Unite Mixte de Service de la Maison des Sciences Economiques
Paris-1 Univ., 75 - Paris (France). Maison des Sciences Economiques

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15578 / INIST-CNRS ...

Between first and second-order stochastic dominance

Müller, Alfred
Tsetlin, Ilia
Winkler, Robert L.
SCARSINI, MARCO

January 2017

We develop a continuum of stochastic dominance rules, covering preferences from first- to second-ord...

Stochastic dominance with pair-wise risk aversion

Scarsini, Marco

January 1985

International audienceA class of stochastic orders is defined on the set of bivariate distribution f...

Four notions of mean preserving increase in risk, risk attitudes and applications to the Rank-Dependent Expected Utility model

Chateauneuf, Alain
Cohen, Michèle
Meilijson, Isaac

January 2004

International audienceThis article presents various notions of risk generated by the intuitively app...

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Song, Yongsheng
Yan, Jia-An

This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or...

Individual decision maling under risk with subjective probability transformation

Barrios, Carolina
Ecole Normale Superieure de Cachan (ENS), 94 - Cachan (France). Groupe de Recherche sur le Risque, l'Information et la Decision (GRID)
Centre National de la Recherche Scientifique (CNRS), 94 - Cachan (France). Groupe de Recherche sur le Risque, l'Information et la Decision (GRID)

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 7349 / INIST-CNRS -...

Quantitative analysis of multi-periodic supply chain contracts with options via stochastic programming

Van Delft, C.
Vial, J.P.
Chambre de Commerce et d'Industrie de Paris, 78 - Jouy-en-Josas (France). Groupe HEC

January 2001

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 7637 / INIST-CNRS -...

Using second order stochastic dominance and linear options to bound non-linear options premia

Henin, Claude
Pistre, Nathalie
Chambre de Commerce et d'Industrie Nice Cote d'Azur (CCI Nice Cote d'Azur), 06 - Valbonne (France). Groupe Centre d'Enseignement et de Recherche Appliques au Management (Groupe CERAM)

January 1996

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 4970 / INIST-CNRS -...

Inverse stochastic dominance and Yaari's model

Chateauneuf, Alain
Wilthien, Pierre-Henry
Centre National de la Recherche Scientifique, 75 - Paris (France). Unite Mixte de Service de la Maison des Sciences Economiques
Paris-1 Univ., 75 - Paris (France). Maison des Sciences Economiques

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15511 / INIST-CNRS ...

Stochastic dominance arguments and the bounding of generalized concave option price

Henin, Claude
Pistre, Nathalie
Chambre de Commerce et d'Industrie Nice Cote d'Azur (CCI Nice Cote d'Azur), 06 - Valbonne (France). Groupe Centre d'Enseignement et de Recherche Appliques au Management (Groupe CERAM)

January 1995

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 3925 / INIST-CNRS - I...

Applicable stochastic control : from theorie to practice

Tapiero, Charles S.
Centre d'Etudes et de Recherche de l'Ecole Superieure des Sciences Economiques et Commerciales (CERESSEC), 95 - Cergy-Pontoise (France)

January 1992

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 1677 / INIST-CNRS - I...

Distorted stochastic dominance: A generalized family of stochastic orders

Lando, Tommaso
Bertoli-Barsotti, Lucio

January 2020

We study a generalized family of stochastic orders, semiparametrized by a distortion function H, nam...

Commande optimale stochastique et processus reciproques

Benchettah, Azzedine

January 1991

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : T 84254 / INIST-CNRS -...

Multi-dimensional stochastic ordering and associated random variables

Baccelli, Francois
Makowski, Armand
Institut National de Recherche en Informatique et en Automatique (INRIA), Domaine de Voluceau-Rocquencourt, 78 - Le Chesnay (France)

January 1987

SIGLECNRS 14802 E / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Monotone risk aversion

Nielsen, L.T.
Institut Europeen d'Administration des Affaires (INSEAD), 77 - Fontainebleau (France)

January 1997

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 5245 / INIST-CNRS -...

Positivity of bid-ask spreads and symmetrical monotone risk aversion

Abouda, Moez
Chateauneuf, Alain
Centre National de la Recherche Scientifique, 75 - Paris (France). Unite Mixte de Service de la Maison des Sciences Economiques
Paris-1 Univ., 75 - Paris (France). Maison des Sciences Economiques

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15578 / INIST-CNRS ...

Between first and second-order stochastic dominance

Müller, Alfred
Tsetlin, Ilia
Winkler, Robert L.
SCARSINI, MARCO

January 2017

We develop a continuum of stochastic dominance rules, covering preferences from first- to second-ord...

Stochastic dominance with pair-wise risk aversion

Scarsini, Marco

January 1985

International audienceA class of stochastic orders is defined on the set of bivariate distribution f...

Four notions of mean preserving increase in risk, risk attitudes and applications to the Rank-Dependent Expected Utility model

Chateauneuf, Alain
Cohen, Michèle
Meilijson, Isaac

January 2004

International audienceThis article presents various notions of risk generated by the intuitively app...

Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Song, Yongsheng
Yan, Jia-An

This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or...

Individual decision maling under risk with subjective probability transformation

Barrios, Carolina
Ecole Normale Superieure de Cachan (ENS), 94 - Cachan (France). Groupe de Recherche sur le Risque, l'Information et la Decision (GRID)
Centre National de la Recherche Scientifique (CNRS), 94 - Cachan (France). Groupe de Recherche sur le Risque, l'Information et la Decision (GRID)

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 7349 / INIST-CNRS -...

Quantitative analysis of multi-periodic supply chain contracts with options via stochastic programming

Van Delft, C.
Vial, J.P.
Chambre de Commerce et d'Industrie de Paris, 78 - Jouy-en-Josas (France). Groupe HEC

January 2001

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 7637 / INIST-CNRS -...

Using second order stochastic dominance and linear options to bound non-linear options premia

Henin, Claude
Pistre, Nathalie
Chambre de Commerce et d'Industrie Nice Cote d'Azur (CCI Nice Cote d'Azur), 06 - Valbonne (France). Groupe Centre d'Enseignement et de Recherche Appliques au Management (Groupe CERAM)

January 1996

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 4970 / INIST-CNRS -...

Inverse stochastic dominance and Yaari's model

Chateauneuf, Alain
Wilthien, Pierre-Henry
Centre National de la Recherche Scientifique, 75 - Paris (France). Unite Mixte de Service de la Maison des Sciences Economiques
Paris-1 Univ., 75 - Paris (France). Maison des Sciences Economiques

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15511 / INIST-CNRS ...

Stochastic dominance arguments and the bounding of generalized concave option price

Henin, Claude
Pistre, Nathalie
Chambre de Commerce et d'Industrie Nice Cote d'Azur (CCI Nice Cote d'Azur), 06 - Valbonne (France). Groupe Centre d'Enseignement et de Recherche Appliques au Management (Groupe CERAM)

January 1995

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 3925 / INIST-CNRS - I...

Applicable stochastic control : from theorie to practice

Tapiero, Charles S.
Centre d'Etudes et de Recherche de l'Ecole Superieure des Sciences Economiques et Commerciales (CERESSEC), 95 - Cergy-Pontoise (France)

January 1992

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 1677 / INIST-CNRS - I...

Distorted stochastic dominance: A generalized family of stochastic orders

Lando, Tommaso
Bertoli-Barsotti, Lucio

January 2020

We study a generalized family of stochastic orders, semiparametrized by a distortion function H, nam...

Commande optimale stochastique et processus reciproques

Benchettah, Azzedine

January 1991

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : T 84254 / INIST-CNRS -...

Multi-dimensional stochastic ordering and associated random variables

Baccelli, Francois
Makowski, Armand
Institut National de Recherche en Informatique et en Automatique (INRIA), Domaine de Voluceau-Rocquencourt, 78 - Le Chesnay (France)

January 1987

SIGLECNRS 14802 E / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Monotone risk aversion

Nielsen, L.T.
Institut Europeen d'Administration des Affaires (INSEAD), 77 - Fontainebleau (France)

January 1997

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 5245 / INIST-CNRS -...

Positivity of bid-ask spreads and symmetrical monotone risk aversion

Abouda, Moez
Chateauneuf, Alain
Centre National de la Recherche Scientifique, 75 - Paris (France). Unite Mixte de Service de la Maison des Sciences Economiques
Paris-1 Univ., 75 - Paris (France). Maison des Sciences Economiques

January 1999

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15578 / INIST-CNRS ...

Between first and second-order stochastic dominance

Müller, Alfred
Tsetlin, Ilia
Winkler, Robert L.
SCARSINI, MARCO

January 2017

We develop a continuum of stochastic dominance rules, covering preferences from first- to second-ord...

Comonotonicity-based stochastic orders generated by single crossings of distributions with applications to attitudes to risk in the rank-dependent expected utility model

Abstract

Extracted data

Comonotonicity-based stochastic orders generated by single crossings of distributions with applications to attitudes to risk in the rank-dependent expected utility model

Abstract

Extracted data

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