Chan, Raymond H. and Clark, Ephraim and Wong, Wing-Keung
(2016):
*On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks.*

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## Abstract

This paper presents some interesting new properties of third order stochastic dominance (TSD) for risk-averse and risk-seeking investors. We show that the means of the assets being compared should be included in the definition of TSD for both investor types. We also derive the conditions on the variance order of two assets with equal means for both investor types and extend the second order SD (SSD) reversal result of Levy and Levy (2002) to TSD. We apply our results to analyze the investment behaviors on traditional stocks and internet stocks for both risk averters and risk seekers.

Item Type: | MPRA Paper |
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Original Title: | On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks |

English Title: | On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks |

Language: | English |

Keywords: | Third order stochastic dominance, expected-utility maximization, risk aversion, risk seeking, investment behaviors. |

Subjects: | C - Mathematical and Quantitative Methods > C0 - General > C00 - General G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions |

Item ID: | 75002 |

Depositing User: | Wing-Keung Wong |

Date Deposited: | 11 Nov 2016 12:49 |

Last Modified: | 26 Sep 2019 21:22 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/75002 |