Search Results - subject:"Second order stochastic dominance"

Measuring the overall efficiency of SRI and conventional mutual funds by a diversification-consistent DEA model

Bilbao Terol, Amelia; Arenas-Parra, Mar; Bilbao, Cecilia - In: International transactions in operational research : a … 30 (2023) 5, pp. 2224-2256

Persistent link: https://www.econbiz.de/10014259144

A lattice approach to the Beta distribution induced by stochastic dominance : theory and applications

Braouezec, Yann; Cagnol, John - In: Journal of the Operational Research Society 74 (2023) 6, pp. 1424-1442

Persistent link: https://www.econbiz.de/10014335393

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: SPOUDAI - Journal of Economics and Business 72 (2022) 3/4, pp. 3-55

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

Persistent link: https://www.econbiz.de/10014477251

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

Persistent link: https://www.econbiz.de/10014246136

Violations of dominance in decision-making

Kourouxous, Thomas; Bauer, Thomas - In: Business Research 12 (2019) 1, pp. 209-239

A key premise underlying most of the economic literature is that rational decision-makers will choose dominant strategies over dominated alternatives. However, prior literature in various disciplines including business, psychology, and economics document a series of phenomena associated with...

Persistent link: https://www.econbiz.de/10012502905

Violations of dominance in decision-making

Kourouxous, Thomas; Bauer, Thomas - In: Business research 12 (2019) 1, pp. 209-239

Persistent link: https://www.econbiz.de/10012029302

Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting

Lee, Tae-Hwy; Tu, Yundong; Ullah, Aman - Department of Economics, University of California-Riverside - 2014

equity premium is taken for illustration. We introduce a new forecasting evaluation criterion based on the second order … stochastic dominance in the size of forecast errors and compare models over different sizes of forecast errors. Imposing …

Persistent link: https://www.econbiz.de/10010944664

Improved Portfolio Choice using Second-Order Stochastic Dominance

Hodder, James E.; Jackwerth, Jens Carsten; Kolokolova, Olga - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2010

We examine the use of second-order stochastic dominance as both a way to measure performance and also as a technique … for constructing portfolios. Using in-sample data, we construct portfolios such that their second-order stochastic … dominance over a typical pension fund benchmark is most probable. The empirical results based on 21 years of daily data suggest …

Persistent link: https://www.econbiz.de/10008727239

Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion

Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - Collegio Carlo Alberto, Università degli Studi di Torino - 2010

We study the interplay of probabilistic sophistication, second order stochastic dominance, and uncertainty aversion … averse preferences that satisfy second order stochastic dominance, as well as uncertainty averse preferences that are …

Persistent link: https://www.econbiz.de/10008799722

Stochastic Dominance and Cumulative Prospect Theory

Baucells Alibés, Baucells Alibés Manel; Heukamp, … - Fundación BBVA - 2007

We generalize and extend the second order stochastic dominance condition available for Expected Utility to Cumulative …

Persistent link: https://www.econbiz.de/10008683579