Search Results - subject:"Reverse S-shaped utility"

The mean-variance rule for investors with reverse S-shaped utility

Wong, Wing Keung; Yeung, David W. K.; Lu, Richard - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442384

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

Persistent link: https://www.econbiz.de/10011877232

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of econometrics 217 (2020) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10012482763

Prospect and Markowitz Stochastic Dominance

Wong, Wing-Keung; Chan, Raymond H. - Department of Economics, National University of Singapore - 2005

Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped … Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped … utility functions for investors. In this paper, we extend Levy and Levy’s Prospect Stochastic Dominance theory (PSD) and …

Persistent link: https://www.econbiz.de/10005518288

Prospect and Markowitz Stochastic Dominance

Wong, Wing-Keung; Chan, Raymond H. - Department of Econometrics and Business Statistics, … - 2005

Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped … Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped … utility functions for investors. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory (PSD) and …

Persistent link: https://www.econbiz.de/10005064061

Prospect and Markowitz stochastic dominance

Wong, W.; Chan, R. - In: Annals of Finance 4 (2008) 1, pp. 105-129

Persistent link: https://www.econbiz.de/10005701353