Stochastic Dominance of the Physical Measure Over the Risk-Neutral Measure

This study provides a sufficient and necessary condition in which the risk-neutral measure is first-order stochastically dominated by the physical measure. Various sufficient conditions are also developed under the consumption-based equilibrium model. We also show that, if stochastic dominance occurs, the risk-neutral measure induces the conservative bounds of some risk measures, such as value-at-risk (VaR) and expected shortfall (ES)

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Year of publication:	2022
Authors:	Yamashita, Mamiko
Publisher:	[S.l.] : SSRN
Subject:	Messung \| Measurement \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4295604 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014235904