Search Results - subject:"reverse S- shaped utility function"

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 utility functions for investors. In this paper, we extend Levy and Levy’s Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to...

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 utility functions for investors. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to the...

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