Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Almost Stochastic Dominance and Moments.
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Abstract
This paper establishes some equivalent relationships for the first three orders of the almost stochastic dominance (ASD). Using these results, we first prove formally that the ASD definition modified by Tzeng et al. (2012) does not possess any hierarchy property. Thereafter, we conclude that when the first three orders of ASD are used in the prospects comparison, investors prefer the one with positive gain, smaller variance and positive skewness. This information, in turn, enables decision makers to determine the ASD relationship among prospects when they know the moments of the prospects.
Item Type: | MPRA Paper |
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Original Title: | Almost Stochastic Dominance and Moments |
English Title: | Almost Stochastic Dominance and Moments |
Language: | English |
Keywords: | Stochastic dominance; almost stochastic dominance; risk aversion, mean, variance, skewness |
Subjects: | C - Mathematical and Quantitative Methods > C0 - General D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions |
Item ID: | 49205 |
Depositing User: | Wing-Keung Wong |
Date Deposited: | 22 Aug 2013 04:23 |
Last Modified: | 27 Sep 2019 16:26 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/49205 |