Almost Stochastic Dominance and Efficient Investment Sets

Moshe Levy^{*}

Show more

References

[1] M. Leshno and H. Levy, “Preferred by ‘All’ and Preferred by ‘Most’ Decision Makers: Almost Stochastic Dominance,” Management Science, Vol. 48, No. 8, 2002, pp. 1074-1085. doi:10.1287/mnsc.48.8.1074.169

[2] G. Chamberlain, “A Characterization of the Distributions that Imply Mean-Variance Utility Functions,” Journal of Economic Theory, Vol. 29, No. 1, 1983, pp. 185-201.
doi:10.1016/0022-0531(83)90129-1

[3] J. Owen and R. Rabinovitch, “On the Class of Elliptical Distributions and their Applications to Portfolio Choice,” Journal of Finance, Vol. 38, No. 3, 1983, pp. 745-752.
doi:10.1111/j.1540-6261.1983.tb02499.x

[4] J. Berk, “Necessary Conditions for the CAPM,” Journal of Economic Theory, Vol. 73, No. 1, 1997, 245-257.
doi:10.1006/jeth.1996.2218

[5] H. Levy and H. Markowitz, “Approximating Expected Utility by a Function of Mean and Variance,” American Economic Review, Vol. 69, No. 3, 1979, pp. 308-317.

[6] H. Markowitz, “Foundations of Portfolio Theory,” Journal of Finance, Vol. 46, No. 2, 1991, pp. 469-477.
doi:10.1111/j.1540-6261.1991.tb02669.x

[7] J. Hadar and W. Russell, “Rules for Ordering Uncertain Prospects,” American Economic Review, Vol. 59, No. 1, 1969, pp. 25-34.

[8] G. Hanoch and H. Levy, “The Efficiency Analysis of Choices Involving Risk,” Review of Economic Studies, Vol. 36, 1969, pp. 335-346. doi:10.2307/2296431

[9] M. Rothschild and J. Stiglitz, “Increasing Risk: I. A Definition,” Journal of Economic Theory, Vol. 2, No. 3, 1970, pp. 225-243. doi:10.1016/0022-0531(70)90038-4

[10] E. De Giorgi, “Reward-Risk Portfolio Selection and Stochastic Dominance,” Journal of Banking and Finance, Vol. 29, No. 4, 2005, pp. 895-926.
doi:10.1016/j.jbankfin.2004.05.027

[11] D. Dentcheva and A. Ruszczynski, “Portfolio Optimization with Stochastic Dominance Constraints,” Journal of Banking and Finance, Vol. 30, No. 2, 2006, pp. 433-451.
doi:10.1016/j.jbankfin.2005.04.024

[12] G. Constantinides and S. Perrakis, “Stochastic Dominance Bounds on American Option Prices in Markets with Frictions,” Review of Finance, Vol. 11, No. 1, 2007, pp. 71-116. doi:10.1093/rof/rfl001

[13] D. Gasbarro, W. Wong and J.K. Zumwalt, “Stochastic Dominance Analysis of iShares,” European Journal of Finance, Vol. 13, No. 1, 2007, pp. 89-101.
doi:10.1080/13518470601025243

[14] W. K. Wong, “Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment,” European Journal of Operational Research, Vol. 182, No. 2, 2007, pp. 829-843.
doi:10.1016/j.ejor.2006.09.032

[15] A. Abhyankar, K. Y. Ho and H. Zhao, “Value versus Growth: Stochastic Dominance Criteria,” Quantitative Finance, Vol. 8, No. 7, 2008, pp. 693-704.
doi:10.1080/14697680701668426

[16] J. Annaert, S. Van Osselaer and B. Verstraete, “Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria,” Journal of Banking and Finance, Vol. 33, No. 2, 2009, pp. 272-280.
doi:10.1016/j.jbankfin.2008.08.002

[17] M. Kopa and T. Post, “A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion,” Journal of Financial and Quantitative Analysis, Vol. 44, No. 5, 2009, pp. 1103-1124.
doi:10.1017/S0022109009990251

[18] H. Levy, Stochastic Dominance: Investment Decision Making Under Uncertainty, Springer, New York, 2006.

[19] H. Zhang, W. Song, X. Peng and X. Song, “Evaluate the Investment Efficiency by Using Data Envelopment Analysis: The Case of China,” American Journal of Operations Research, Vol. 2 No. 2, 2012, pp. 174-182.

[20] R. B. Porter and J. E. Gaumnitz, “Stochastic Dominance vs. Mean Variance Portfolio Analysis: An Empirical Evaluation,” American Economic Review, Vol. 62, No. 3, 1972, pp. 438-446.

[21] H. Tehranian, “Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance,” Journal of Finance, Vol. 35, No. 1, 1980, pp. 159-171.
doi:10.1111/j.1540-6261.1980.tb03478.x

[22] V. S. Bawa, J. Bondurtha, M. R. Rao and H. L. Suri, “On Determination of the Stochastic Dominance Optimal Set,” Journal of Finance, Vol. 40, No. 2, 1985, pp. 417-431.
doi:10.1111/j.1540-6261.1985.tb04965.x

[23] M. Levy, “Are Rich People Smarter?” Journal of Economic Theory, Vol. 110, No. 1, 2003, pp. 42-64.
doi:10.1016/S0022-0531(03)00024-3

[24] P. C. Benitez, T. Kuosmanen, R. Olschewski, and G. C. van Kooten, “Conservation Payments Under Risk: A Stochastic Dominance Approach,” American Journal of Agricultural Economics, Vol. 88, No. 1, 2006, pp. 1-15.
doi:10.1111/j.1467-8276.2006.00835.x

[25] J. Huang, “Almost First Stochastic Dominance: What Do We Know from the Options Market?” SSRN Working Paper, 2007.

[26] H. Levy, M. Leshno and B. Leibovich, “Economically Relevant Preferences for All Observed Epsilon,” Annals of Operations Research, Vol. 176, No. 1, 2010, pp. 153- 178. doi:10.1007/s10479-008-0470-7

[27] M. Levy, “Almost Stochastic Dominance and Stocks for the Long Run,” European Journal of Operations Research, Vol. 194, No. 1, 2009, pp. 250-257.
doi:10.1016/j.ejor.2007.12.017

[28] P. C. Fishburn, “Convex Stochastic Dominance with Continuous Distributions,” Journal of Economic Theory, Vol. 7, No. 2, 1974, pp. 143-158.
doi:10.1016/0022-0531(74)90103-3

[29] I. Friend and M. Blume, “The Demand for Risky Assets,” American Economic Review, Vol. 65, No. 5, 1975, pp. 900-922.

[30] A. Tversky and D. Kahneman, “Advances in Prospect Theory,” Journal of Risk and Uncertainty, Vol. 5, No. 4, 1992, pp. 297-323. doi:10.1007/BF00122574