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Google Keyword Rankings for : second degree stochastic dominance
1
Fall Term 2007 Notes for lectures 4. Stochastic Dominance
https://www.princeton.edu/~dixitak/Teaching/EconomicsOfUncertainty/Slides&Notes/Notes04.pdf
(2) Your first thought may be that first-order stochastic dominance should correspond to having a higher mean, and second-order stochastic dominance should.
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https://www.princeton.edu/~dixitak/Teaching/EconomicsOfUncertainty/Slides&Notes/Notes04.pdf
(2) Your first thought may be that first-order stochastic dominance should correspond to having a higher mean, and second-order stochastic dominance should.
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2
Second order stochastic dominance and Third ... - YouTube
https://www.youtube.com/watch?v=4MYsnSF02Q4
Ch-15 Engineering Sciences and general subjects
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https://www.youtube.com/watch?v=4MYsnSF02Q4
Ch-15 Engineering Sciences and general subjects
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3
Stochastic dominance tests | Vose Software
https://www.vosesoftware.com/riskwiki/Stochasticdominancetests.php
Second order stochastic dominance makes the assumption that the decision-maker has a risk averse utility function over the entire range of the variable.
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https://www.vosesoftware.com/riskwiki/Stochasticdominancetests.php
Second order stochastic dominance makes the assumption that the decision-maker has a risk averse utility function over the entire range of the variable.
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4
The Cumulative Distribution and Stochastic Dominance
https://people.duke.edu/~dgraham/ECO_463/Handouts/StochasticDominance.pdf
As will be shown, the answers involve, respectively, the statistical concepts of first and second order stochastic dominance. The cumulative distribution is the ...
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https://people.duke.edu/~dgraham/ECO_463/Handouts/StochasticDominance.pdf
As will be shown, the answers involve, respectively, the statistical concepts of first and second order stochastic dominance. The cumulative distribution is the ...
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5
BankPedia |
https://www.bankpedia.org/index_voce.php?lingua=en&i_id=126&i_alias=s&c_id=23917-second-degree-stochastic-dominance
SECOND-DEGREE STOCHASTIC DOMINANCE ... It is a form of stochastic ordering that means to order random result distribution. It is useful when first-degree ...
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https://www.bankpedia.org/index_voce.php?lingua=en&i_id=126&i_alias=s&c_id=23917-second-degree-stochastic-dominance
SECOND-DEGREE STOCHASTIC DOMINANCE ... It is a form of stochastic ordering that means to order random result distribution. It is useful when first-degree ...
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6
Stochastic Dominance calculation in the Decision Tree Maker
https://www.spicelogic.com/docs/DecisionTreeAnalyzer/analysis/stochastic-dominance-324
According to Wikipedia, For two gambles A and B, gamble A has second-order stochastic dominance over gamble B, if the former is more ...
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https://www.spicelogic.com/docs/DecisionTreeAnalyzer/analysis/stochastic-dominance-324
According to Wikipedia, For two gambles A and B, gamble A has second-order stochastic dominance over gamble B, if the former is more ...
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7
Second order of stochastic dominance efficiency vs mean ...
https://www.sciencedirect.com/science/article/pii/S0377221720307645
In particular, the second order of stochastic dominance (SSD) is coherent with the preferences of non-satiable and risk-averse investors, i.e., ...
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https://www.sciencedirect.com/science/article/pii/S0377221720307645
In particular, the second order of stochastic dominance (SSD) is coherent with the preferences of non-satiable and risk-averse investors, i.e., ...
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8
Second Order Stochastic Dominance and Pr[X≤Y]≤1/2
https://stats.stackexchange.com/questions/291675/second-order-stochastic-dominance-and-prx-leq-y-leq1-2
It's not true. Intuitively, we could concentrate X near the common expectation and spread Y out to the two endpoints. Provided most of the probability ...
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https://stats.stackexchange.com/questions/291675/second-order-stochastic-dominance-and-prx-leq-y-leq1-2
It's not true. Intuitively, we could concentrate X near the common expectation and spread Y out to the two endpoints. Provided most of the probability ...
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9
Revisiting Almost Second-Degree Stochastic ... - PubsOnLine
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1120.1616
almost second-degree stochastic dominance is the necessary and sufficient condition to rank distributions for all decision makers excluding the pathological ...
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https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1120.1616
almost second-degree stochastic dominance is the necessary and sufficient condition to rank distributions for all decision makers excluding the pathological ...
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10
Stochastic dominance • Two criteria for making decisions ...
https://www.uio.no/studier/emner/sv/oekonomi/ECON4510/v12/undervisningsmateriale/lect2601.pdf
Second-order stochastic dominance. A random variable˜XA second-order stochastically dominates an- other random variable˜XB if every risk-averse vN-M ...
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https://www.uio.no/studier/emner/sv/oekonomi/ECON4510/v12/undervisningsmateriale/lect2601.pdf
Second-order stochastic dominance. A random variable˜XA second-order stochastically dominates an- other random variable˜XB if every risk-averse vN-M ...
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11
Testing for Second-Order Stochastic Dominance of Two ...
https://www.cambridge.org/core/journals/econometric-theory/article/testing-for-secondorder-stochastic-dominance-of-two-distributions/CCD9B8E2B3674BD05D6EDBAFF106C14D
A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if , for all x.
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https://www.cambridge.org/core/journals/econometric-theory/article/testing-for-secondorder-stochastic-dominance-of-two-distributions/CCD9B8E2B3674BD05D6EDBAFF106C14D
A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if , for all x.
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12
Lecture Notes and Slides | Microeconomic Theory III
https://ocw.mit.edu/courses/14-123-microeconomic-theory-iii-spring-2015/pages/lecture-notes-and-slides/
Stochastic Dominance, Chapter 4: Stochastic Dominance Lecture Notes (PDF), Lecture slides are not available. Decision Making under Uncertainty ...
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https://ocw.mit.edu/courses/14-123-microeconomic-theory-iii-spring-2015/pages/lecture-notes-and-slides/
Stochastic Dominance, Chapter 4: Stochastic Dominance Lecture Notes (PDF), Lecture slides are not available. Decision Making under Uncertainty ...
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13
Multivariate robust second-order stochastic dominance and ...
https://www.tandfonline.com/doi/full/10.1080/02331934.2019.1589467
As we know, univariate stochastic dominance could be defined with respect to a set of utility functions. Naturally, some researchers define ...
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https://www.tandfonline.com/doi/full/10.1080/02331934.2019.1589467
As we know, univariate stochastic dominance could be defined with respect to a set of utility functions. Naturally, some researchers define ...
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14
Second-Degree Stochastic Dominance Decisions and - ProQuest
https://www.proquest.com/scholarly-journals/second-degree-stochastic-dominance-decisions/docview/235930149/se-2
Second-Degree Stochastic Dominance Decisions and Random Initial Wealth with Applications to the Economics of Insurance: ABSTRACT.
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https://www.proquest.com/scholarly-journals/second-degree-stochastic-dominance-decisions/docview/235930149/se-2
Second-Degree Stochastic Dominance Decisions and Random Initial Wealth with Applications to the Economics of Insurance: ABSTRACT.
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15
Stochastic Dominance and Transformations of Random ...
https://link.springer.com/chapter/10.1007/978-1-4613-8922-4_3
Various SD ranking procedures have been employed in both empirical and theoretical analysis. First degree stochastic dominance, second degree stochastic ...
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https://link.springer.com/chapter/10.1007/978-1-4613-8922-4_3
Various SD ranking procedures have been employed in both empirical and theoretical analysis. First degree stochastic dominance, second degree stochastic ...
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16
Distributionally robust second-order stochastic dominance ...
https://arxiv.org/abs/2101.00838
Abstract: We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance ...
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https://arxiv.org/abs/2101.00838
Abstract: We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance ...
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17
ESTIMATION OF DISTRIBUTION FUNCTIONS UNDER ...
http://www3.stat.sinica.edu.tw/statistica/oldpdf/A13n318.pdf
SECOND ORDER STOCHASTIC DOMINANCE. Javier Rojo Jiménez and Hammou El Barmi. Rice University and City University of New York.
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http://www3.stat.sinica.edu.tw/statistica/oldpdf/A13n318.pdf
SECOND ORDER STOCHASTIC DOMINANCE. Javier Rojo Jiménez and Hammou El Barmi. Rice University and City University of New York.
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18
Revisiting Almost Second-Degree Stochastic Dominance
https://econpapers.repec.org/RePEc:inm:ormnsc:v:59:y:2013:i:5:p:1250-1254
Downloadable! This paper introduces a new concept, a left-side strong second-degree stochastic dominance (L-SSSD) shift which includes a left-side strong ...
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https://econpapers.repec.org/RePEc:inm:ormnsc:v:59:y:2013:i:5:p:1250-1254
Downloadable! This paper introduces a new concept, a left-side strong second-degree stochastic dominance (L-SSSD) shift which includes a left-side strong ...
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19
Between First and Second-Order Stochastic Dominance
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2640879
We develop a continuum of stochastic dominance rules, covering preferences from first to second-order stochastic dominance.
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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2640879
We develop a continuum of stochastic dominance rules, covering preferences from first to second-order stochastic dominance.
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20
1 McCarl July 1996 Stochastic Dominance Notes AGEC 662
https://agecon2.tamu.edu/people/faculty/mccarl-bruce/riskclas/stodom.pdf
Second Degree Stochastic Dominance. The above stochastic dominance development while theoretically elegant is not terribly useful.
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https://agecon2.tamu.edu/people/faculty/mccarl-bruce/riskclas/stodom.pdf
Second Degree Stochastic Dominance. The above stochastic dominance development while theoretically elegant is not terribly useful.
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21
Stochastic Dominance: A Tool for Evaluating Reinsurance ...
https://www.casact.org/sites/default/files/2021-02/pubs_forum_01sforum_01sf095.pdf
stochastic dominance results from a weak utility function constraint, increasing wealth preference. Second-Order Stochastic Oominance.
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https://www.casact.org/sites/default/files/2021-02/pubs_forum_01sforum_01sf095.pdf
stochastic dominance results from a weak utility function constraint, increasing wealth preference. Second-Order Stochastic Oominance.
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22
(PDF) Revisiting Almost Second-Degree Stochastic Dominance
https://www.researchgate.net/publication/256288052_Revisiting_Almost_Second-Degree_Stochastic_Dominance
We then re-define this dominance condition and show that the newly-defined almost second-degree stochastic dominance is the necessary and ...
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https://www.researchgate.net/publication/256288052_Revisiting_Almost_Second-Degree_Stochastic_Dominance
We then re-define this dominance condition and show that the newly-defined almost second-degree stochastic dominance is the necessary and ...
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23
Stochastic Dominance - Sairam Tangirala - Google Sites
https://sites.google.com/site/tangiralasairam/personal/risk-sharing-concepts/stochastic-dominance
First-order stochastic dominance of A over B is a sufficient condition for second-order dominance of A over B · If B is a mean-preserving spread of A, then A ...
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https://sites.google.com/site/tangiralasairam/personal/risk-sharing-concepts/stochastic-dominance
First-order stochastic dominance of A over B is a sufficient condition for second-order dominance of A over B · If B is a mean-preserving spread of A, then A ...
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24
SOME THEORY OF STOCHASTIC DOMINANCE - Project Euclid
https://projecteuclid.org/ebook/download?urlId=10.1214/lnms/1215459861&isFullBook=false
distribution functions, and, in the second case, by inequalities for integrals ... usual stochastic dominance order (Lehmann (1955)), or first degree ...
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https://projecteuclid.org/ebook/download?urlId=10.1214/lnms/1215459861&isFullBook=false
distribution functions, and, in the second case, by inequalities for integrals ... usual stochastic dominance order (Lehmann (1955)), or first degree ...
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25
Risk Aversion and Stochastic Dominance: A Revealed ...
http://www.appstate.edu/~brunerdm/Bruner%202008_Stochastic%20Dominance.pdf
Theoretically, given a choice over two risky assets with equivalent expected returns, a risk averse expected utility maximizer should choose the second-order ...
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http://www.appstate.edu/~brunerdm/Bruner%202008_Stochastic%20Dominance.pdf
Theoretically, given a choice over two risky assets with equivalent expected returns, a risk averse expected utility maximizer should choose the second-order ...
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26
Equivalent definitions of second order stochastic dominance
https://www.arpm.co/lab/eb-equiv-def-ssd.html
Equivalent definitions of second order stochastic dominance. E.23.5 Equivalent definitions of second order stochastic dominance As explained in Section ...
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https://www.arpm.co/lab/eb-equiv-def-ssd.html
Equivalent definitions of second order stochastic dominance. E.23.5 Equivalent definitions of second order stochastic dominance As explained in Section ...
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27
"Simplifying and Solving Decision Problems by Stochastic ...
https://www.insead.edu/sites/default/files/assets/faculty-personal-site/ilia-tsetlin/documents/tsetlin_cv_27_bookchapter_2%20Eeckhoudt%20et%20al%202010%20Simplifying%20and%20Solving%20Decision%20Problems%20by%20Stochastic%20Dominance%20Relations.pdf
If one alternative is preferred to another in the sense of the first-order stochastic dominance, then any decision maker with an increasing utility function ...
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https://www.insead.edu/sites/default/files/assets/faculty-personal-site/ilia-tsetlin/documents/tsetlin_cv_27_bookchapter_2%20Eeckhoudt%20et%20al%202010%20Simplifying%20and%20Solving%20Decision%20Problems%20by%20Stochastic%20Dominance%20Relations.pdf
If one alternative is preferred to another in the sense of the first-order stochastic dominance, then any decision maker with an increasing utility function ...
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28
Nonparametric inference for second order stochastic dominance
https://www.semanticscholar.org/paper/Nonparametric-inference-for-second-order-stochastic-Schmid-Trede/584ef25bc3193861f6abcf083a05bf8084741df4
This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown ...
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https://www.semanticscholar.org/paper/Nonparametric-inference-for-second-order-stochastic-Schmid-Trede/584ef25bc3193861f6abcf083a05bf8084741df4
This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown ...
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29
Probabilistic Sophistication, Second Order Stochastic ...
https://www.carloalberto.org/wp-content/uploads/2018/11/no.174.pdf
Probabilistic Sophistication, Second Order. Stochastic Dominance, and Uncertainty Aversion. Simone CerreiaVioglio. Fabio Maccheroni. Massimo Marinacci.
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https://www.carloalberto.org/wp-content/uploads/2018/11/no.174.pdf
Probabilistic Sophistication, Second Order. Stochastic Dominance, and Uncertainty Aversion. Simone CerreiaVioglio. Fabio Maccheroni. Massimo Marinacci.
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30
Test for fractional degree stochastic dominance with ... - Risk.net
https://www.risk.net/journal-of-risk/7908056/test-for-fractional-degree-stochastic-dominance-with-applications-to-stock-preferences-for-china-and-the-united-states
The concept of stochastic dominance plays a critical role in many economic and financial studies. However, the classical integer-degree ...
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https://www.risk.net/journal-of-risk/7908056/test-for-fractional-degree-stochastic-dominance-with-applications-to-stock-preferences-for-china-and-the-united-states
The concept of stochastic dominance plays a critical role in many economic and financial studies. However, the classical integer-degree ...
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31
Stochastic Dominance Under Independent ... - its.caltech.edu
https://www.its.caltech.edu/~lpomatto/fosd.pdf
1 A random variable X second-order stochastically dominates Y , denoted X ≥2 Y , if E[φ(X)] ≥ E[φ(Y )] for every concave increasing function φ ...
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https://www.its.caltech.edu/~lpomatto/fosd.pdf
1 A random variable X second-order stochastically dominates Y , denoted X ≥2 Y , if E[φ(X)] ≥ E[φ(Y )] for every concave increasing function φ ...
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32
Second-Order Stochastic Dominance Dominated Portfolio ...
https://www.cemmap.ac.uk/wp-content/legacy/forms/bodurtha_paper.pdf
Under Second-Order Stochastic Dominance (SSD), Yitzhaki-Mayshar (1997) and Post (2003) identify the absence or existence of marginal portfolio allocation ...
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https://www.cemmap.ac.uk/wp-content/legacy/forms/bodurtha_paper.pdf
Under Second-Order Stochastic Dominance (SSD), Yitzhaki-Mayshar (1997) and Post (2003) identify the absence or existence of marginal portfolio allocation ...
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33
How to choose? Preferences, Utility and Stochastic Dominance
https://www2.karlin.mff.cuni.cz/~vitali/documentsCourses/Brno_seminar_Vitali.pdf
Moreover, X second-order stochastically dominates Y if and only if every expected utility maximizer with an nondecreasing and con- cave utility function prefers ...
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https://www2.karlin.mff.cuni.cz/~vitali/documentsCourses/Brno_seminar_Vitali.pdf
Moreover, X second-order stochastically dominates Y if and only if every expected utility maximizer with an nondecreasing and con- cave utility function prefers ...
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34
1. Expected utility, risk aversion and stochastic dominance
http://pareto.uab.es/xvila/Uncertainty/Idea-lesson1.pdf
3 Second degree stochastic monotonic dominance. 1. Page 2. The objective of this part is to examine the choice of under uncertainty. We divide this chapter in 3 ...
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http://pareto.uab.es/xvila/Uncertainty/Idea-lesson1.pdf
3 Second degree stochastic monotonic dominance. 1. Page 2. The objective of this part is to examine the choice of under uncertainty. We divide this chapter in 3 ...
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35
Interval-based stochastic dominance: theoretical framework ...
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8404040/
Second-order stochastic dominance (SSD) defines an ordering relationship between integrated distribution functions. By recursively considering ...
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https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8404040/
Second-order stochastic dominance (SSD) defines an ordering relationship between integrated distribution functions. By recursively considering ...
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36
Stochastic dominance | Psychology Wiki - Fandom
https://psychology.fandom.com/wiki/Stochastic_dominance
The other commonly used case of stochastic dominance is second-order stochastic dominance. All risk-averse expected-utility maximizers prefer a second-order ...
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https://psychology.fandom.com/wiki/Stochastic_dominance
The other commonly used case of stochastic dominance is second-order stochastic dominance. All risk-averse expected-utility maximizers prefer a second-order ...
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37
Testing against second-order stochastic dominance of ...
http://www.wright.edu/~weizhen.wang/paper/35-2015IJB_Zhang-Zhang-Wang.pdf
order between the univariate probability distributions. In this paper, we focus on the test of second-order stochastic dominance.
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http://www.wright.edu/~weizhen.wang/paper/35-2015IJB_Zhang-Zhang-Wang.pdf
order between the univariate probability distributions. In this paper, we focus on the test of second-order stochastic dominance.
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38
Between Nth- and (N + 1)th-Degree Stochastic Dominance
http://www.egrie.org/images/Paper_Seminar_2017/D2_2_Huang.pdf
If individuals are not only non-satiable but also risk-averse, then second-degree stochastic dominance (SSD) can be applied to rank distributions for all of ...
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http://www.egrie.org/images/Paper_Seminar_2017/D2_2_Huang.pdf
If individuals are not only non-satiable but also risk-averse, then second-degree stochastic dominance (SSD) can be applied to rank distributions for all of ...
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39
A Robust Test for Stochastic Dominance
https://eml.berkeley.edu/wp/robust.pdf
second-degree stochastic dominance holds between some pair of random variables in a set. The tests are applicable when the distributions of the random.
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https://eml.berkeley.edu/wp/robust.pdf
second-degree stochastic dominance holds between some pair of random variables in a set. The tests are applicable when the distributions of the random.
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40
Almost first-degree stochastic dominance for transformations ...
https://www.econstor.eu/bitstream/10419/181450/1/1029195161.pdf
(2013) revise the second-degree ASD rule to improve the correspondence with expected utility theory and develop higher-order ASD rules that ...
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https://www.econstor.eu/bitstream/10419/181450/1/1029195161.pdf
(2013) revise the second-degree ASD rule to improve the correspondence with expected utility theory and develop higher-order ASD rules that ...
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41
Processing Second-Order Stochastic Dominance models ...
https://bura.brunel.ac.uk/bitstream/2438/7479/2/Fulltext.pdf
second-order stochastic dominance (SSD) is widely recognised as an important criterion of choice in portfolio selection. New portfolio-optimization models ...
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https://bura.brunel.ac.uk/bitstream/2438/7479/2/Fulltext.pdf
second-order stochastic dominance (SSD) is widely recognised as an important criterion of choice in portfolio selection. New portfolio-optimization models ...
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42
2 Preferences, Risk, and Stochastic Dominance
https://academic.oup.com/book/8509/chapter/154351555
The mean–variance criterion for risk–return tradeoff permits inconsistencies with second-order stochastic dominance: a random variable with mean–variance on the ...
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https://academic.oup.com/book/8509/chapter/154351555
The mean–variance criterion for risk–return tradeoff permits inconsistencies with second-order stochastic dominance: a random variable with mean–variance on the ...
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43
Expected Utility - Cornell University
http://www.cs.cornell.edu/courses/cs5846/2017sp/3%20vnM.pdf
first-order stochastic dominance. • Say that F first-order stochastically dominates G if every expected utility maximizer with monotone preferences would ...
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http://www.cs.cornell.edu/courses/cs5846/2017sp/3%20vnM.pdf
first-order stochastic dominance. • Say that F first-order stochastically dominates G if every expected utility maximizer with monotone preferences would ...
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44
Deviation measure in second‐order stochastic dominance ...
https://onlinelibrary.wiley.com/doi/abs/10.1111/itor.12629
In this paper, we aim to introduce a deviation measure in the second-order stochastic dominance (SSD) criterion to select an optimal ...
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https://onlinelibrary.wiley.com/doi/abs/10.1111/itor.12629
In this paper, we aim to introduce a deviation measure in the second-order stochastic dominance (SSD) criterion to select an optimal ...
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45
Portfolio Selection by Second Order Stochastic Dominance ...
https://tspace.library.utoronto.ca/bitstream/1807/35857/6/Javanmardi_Leili_201306_PhD_thesis.pdf
Among them, Second Order Stochastic Dominance (SSD) assumes concave increasing utility functions and is applicable for risk averse investors. Since most ...
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https://tspace.library.utoronto.ca/bitstream/1807/35857/6/Javanmardi_Leili_201306_PhD_thesis.pdf
Among them, Second Order Stochastic Dominance (SSD) assumes concave increasing utility functions and is applicable for risk averse investors. Since most ...
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46
Note on FSD and SSD - Zhang Shuoxun (Hellen)
http://hellenzsx.weebly.com/uploads/4/8/2/0/48206823/note.pdf
Thus individuals are assumed to be risk averse. 10 / 17. Page 11. Second-order stochastic dominance. Figure ...
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http://hellenzsx.weebly.com/uploads/4/8/2/0/48206823/note.pdf
Thus individuals are assumed to be risk averse. 10 / 17. Page 11. Second-order stochastic dominance. Figure ...
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47
A TEST OF SECOND-ORDER STOCHASTIC DOMINANCE ...
https://dergipark.org.tr/tr/download/article-file/374498
A TEST OF SECOND-ORDER STOCHASTIC DOMINANCE WITH DIFFERENT. WEIGHTING METHODS: EVIDENCE FROM BIST-30 and DJIA. DOI: 10.17261/Pressacademia.2015414538.
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https://dergipark.org.tr/tr/download/article-file/374498
A TEST OF SECOND-ORDER STOCHASTIC DOMINANCE WITH DIFFERENT. WEIGHTING METHODS: EVIDENCE FROM BIST-30 and DJIA. DOI: 10.17261/Pressacademia.2015414538.
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48
(PDF) Revisiting Almost Second-Degree Stochastic Dominance ...
https://www.academia.edu/11571384/Revisiting_Almost_Second_Degree_Stochastic_Dominance
The file may not be Revisiting Almost Second-Degree Stochastic Dominance Larry Y. Tzeng Department of Finance, National Taiwan University, Taipei 106, ...
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https://www.academia.edu/11571384/Revisiting_Almost_Second_Degree_Stochastic_Dominance
The file may not be Revisiting Almost Second-Degree Stochastic Dominance Larry Y. Tzeng Department of Finance, National Taiwan University, Taipei 106, ...
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49
A SECOND–ORDER STOCHASTIC DOMINANCE ...
https://www.kybernetika.cz/content/2008/2/243/paper.pdf
A SECOND–ORDER STOCHASTIC DOMINANCE. PORTFOLIO EFFICIENCY MEASURE. Miloš Kopa and Petr Chovanec. In this paper, we introduce a new linear programming ...
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https://www.kybernetika.cz/content/2008/2/243/paper.pdf
A SECOND–ORDER STOCHASTIC DOMINANCE. PORTFOLIO EFFICIENCY MEASURE. Miloš Kopa and Petr Chovanec. In this paper, we introduce a new linear programming ...
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50
APPLICATION OF STOCHASTIC DOMINANCE TESTS TO ...
http://continentalecon.com/publications/other/urp_march1990.pdf
Since this difference is always greater than zero, investment A dominates investment B in the second degree. Page 9. Stochastic dominance tests in utility ...
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http://continentalecon.com/publications/other/urp_march1990.pdf
Since this difference is always greater than zero, investment A dominates investment B in the second degree. Page 9. Stochastic dominance tests in utility ...
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51
Second-Order Stochastic Dominance Constraints for Risk ...
https://ieeexplore.ieee.org/abstract/document/8756103
Second-Order Stochastic Dominance Constraints for Risk Management of a Wind Power Producer's Optimal Bidding Strategy ... Abstract: Risk ...
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https://ieeexplore.ieee.org/abstract/document/8756103
Second-Order Stochastic Dominance Constraints for Risk Management of a Wind Power Producer's Optimal Bidding Strategy ... Abstract: Risk ...
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52
Stochastic Dominance for Simple Random Variables
http://ciep.itam.mx/~rtorres/consumer/stochastic-dominance.pdf
If we also add risk-aversion, then we obtain second-order stochastic dominance. • Given Y,Z ∈ 勿s, we say that Y dominates Z according to first-order ...
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http://ciep.itam.mx/~rtorres/consumer/stochastic-dominance.pdf
If we also add risk-aversion, then we obtain second-order stochastic dominance. • Given Y,Z ∈ 勿s, we say that Y dominates Z according to first-order ...
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53
Riskiness
https://cruel.org/econthought/essays/uncert/increase.html
Second Order Stochastic Dominance: we say F dominates G according to second order stochastic dominance, or F ｳ 2 G, if T(x) = ・/font> ax [G(t)-F(t)]dt ｳ 0 ...
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https://cruel.org/econthought/essays/uncert/increase.html
Second Order Stochastic Dominance: we say F dominates G according to second order stochastic dominance, or F ｳ 2 G, if T(x) = ・/font> ax [G(t)-F(t)]dt ｳ 0 ...
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54
Distributionally Robust Second-Order Stochastic Dominance ...
https://epubs.siam.org/doi/10.1137/21M1394412
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints to hold with ...
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https://epubs.siam.org/doi/10.1137/21M1394412
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints to hold with ...
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55
Between First-and Second-Order Stochastic Dominance
https://dl.acm.org/doi/10.1287/mnsc.2016.2486
We develop a continuum of stochastic dominance rules, covering preferences from first-to second-order stochastic dominance. The motivation for such a ...
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https://dl.acm.org/doi/10.1287/mnsc.2016.2486
We develop a continuum of stochastic dominance rules, covering preferences from first-to second-order stochastic dominance. The motivation for such a ...
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56
Portfolios Dominating Indices: Optimization with Second-Order ...
https://www.mdpi.com/1911-8074/9/4/11
As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such ...
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https://www.mdpi.com/1911-8074/9/4/11
As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such ...
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57
Stochastic Dominance and Mean-Standard Deviation Analysis
https://www.publish.csiro.au/cp/pdf/AR9951487
applied second degree stochastic dominance (SSD) and mean-standard deviation. (E,s) analysis to the climatic risk facing kenaf production.
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https://www.publish.csiro.au/cp/pdf/AR9951487
applied second degree stochastic dominance (SSD) and mean-standard deviation. (E,s) analysis to the climatic risk facing kenaf production.
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58
Dual stochastic dominance and quantile risk measures
https://www.ia.pw.edu.pl/~wogrycza/publikacje/artykuly/myitor02.pdf
second-degree relation to expectations of concave non-decreasing utility functions. While theoretically attractive, stochastic dominance order is ...
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https://www.ia.pw.edu.pl/~wogrycza/publikacje/artykuly/myitor02.pdf
second-degree relation to expectations of concave non-decreasing utility functions. While theoretically attractive, stochastic dominance order is ...
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59
Second Order Stochastic Dominance Portfolio Optimization for ...
https://dberleant.github.io/papers/CheongEnergyPortfolio.pdf
has second-order stochastic dominance (SSD) over the cumulative distribution of a minimum tolerable reference distribution.
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https://dberleant.github.io/papers/CheongEnergyPortfolio.pdf
has second-order stochastic dominance (SSD) over the cumulative distribution of a minimum tolerable reference distribution.
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60
Lecture 3.pdf
http://coin.wne.uw.edu.pl/kiuila/AM/Wojtek/Lecture%203.pdf
First-order stochastic dominance. ▫ Def.: The distribution F(.) first-order stochastically dominates G(.) if, for every nondecreasing u:.
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http://coin.wne.uw.edu.pl/kiuila/AM/Wojtek/Lecture%203.pdf
First-order stochastic dominance. ▫ Def.: The distribution F(.) first-order stochastically dominates G(.) if, for every nondecreasing u:.
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61
PORTFOLIO CHOICE BASED ON THIRD-DEGREE ...
https://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1527.pdf
inance and second-degree stochastic dominance. Relative to the bench- mark, our portfolio increases average out-of-sample return by almost seven.
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https://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1527.pdf
inance and second-degree stochastic dominance. Relative to the bench- mark, our portfolio increases average out-of-sample return by almost seven.
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62
Distributionally robust second-order stochastic dominance ...
https://optimization-online.org/2021/01/8190/
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance ...
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https://optimization-online.org/2021/01/8190/
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance ...
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63
Stochastic Dominance under Independent Noise
https://www.journals.uchicago.edu/doi/abs/10.1086/705555?af=R&mobileUi=0
We extend our results to second-order stochastic dominance and show how they lead to a novel and elementary axiomatization of mean-variance preferences.
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https://www.journals.uchicago.edu/doi/abs/10.1086/705555?af=R&mobileUi=0
We extend our results to second-order stochastic dominance and show how they lead to a novel and elementary axiomatization of mean-variance preferences.
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64
A Solver for Problems with Second-Order Stochastic ...
https://www.zverovich.net/slides/2013-07-11-icsp/ssdsolver.html
Second-Order Stochastic Dominance. Let R and R′ be random variables defined on the probability space (Ω,F,P). R dominates R′ with respect to SSD ...
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https://www.zverovich.net/slides/2013-07-11-icsp/ssdsolver.html
Second-Order Stochastic Dominance. Let R and R′ be random variables defined on the probability space (Ω,F,P). R dominates R′ with respect to SSD ...
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65
SECOND DEGREE STOCHASTIC DOMINANCE [1 record]
https://www.btb.termiumplus.gc.ca/tpv2alpha/alpha-eng.html?lang=eng&i=&index=alt&srchtxt=SECOND%20DEGREE%20STOCHASTIC%20DOMINANCE
The various alternatives are tested for risk return efficiency in the following order, first (FSD) and second (SSD) degree stochastic dominance and ...
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https://www.btb.termiumplus.gc.ca/tpv2alpha/alpha-eng.html?lang=eng&i=&index=alt&srchtxt=SECOND%20DEGREE%20STOCHASTIC%20DOMINANCE
The various alternatives are tested for risk return efficiency in the following order, first (FSD) and second (SSD) degree stochastic dominance and ...
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66
Stochastic Dominance - Russell Davidson
https://russell-davidson.arts.mcgill.ca/articles/stochdomdp.pdf
is just restricted second-order stochastic dominance of A by B over that interval. As with welfare functions, this result can be extended. By progressively ...
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https://russell-davidson.arts.mcgill.ca/articles/stochdomdp.pdf
is just restricted second-order stochastic dominance of A by B over that interval. As with welfare functions, this result can be extended. By progressively ...
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67
Characterization of Stochastic Dominance for Discrete ...
https://halshs.archives-ouvertes.fr/halshs-00446413/document
Q.E.D.. We now turn to the case of second order stochastic dominance. Definition 2 We say that f second-order stochastically dominates g (and ...
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https://halshs.archives-ouvertes.fr/halshs-00446413/document
Q.E.D.. We now turn to the case of second order stochastic dominance. Definition 2 We say that f second-order stochastically dominates g (and ...
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68
Extension of stochastic dominance theory to random variables
http://www.numdam.org/article/RO_1999__33_4_509_0.pdf
second degree stochastic dominance with respect to a function. He discussed the stochastic dominance for risk lovers as well as risk averters. Wong and Li.
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http://www.numdam.org/article/RO_1999__33_4_509_0.pdf
second degree stochastic dominance with respect to a function. He discussed the stochastic dominance for risk lovers as well as risk averters. Wong and Li.
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69
Risk preferences and stochastic dominance | ZoneCours
https://zonecours2.hec.ca/sdata/c/attachment/6-204-10A.A2011.J01/OpenSyllabus/CMT2%20-%20Stochastic%20dominance.pdf?child=6-204-10A.A2011.J01
1st order SD. White noises. 2nd order SD. Aversion to downside risk. Background risk. Risk preferences and stochastic dominance.
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https://zonecours2.hec.ca/sdata/c/attachment/6-204-10A.A2011.J01/OpenSyllabus/CMT2%20-%20Stochastic%20dominance.pdf?child=6-204-10A.A2011.J01
1st order SD. White noises. 2nd order SD. Aversion to downside risk. Background risk. Risk preferences and stochastic dominance.
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70
kopa-measuring of second-order stochastic dominance ...
http://library.utia.cas.cz/separaty/2010/E/kopa-measuring%20of%20second-order%20stochastic%20dominance%20portfolio%20efficiency.pdf
In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a ...
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http://library.utia.cas.cz/separaty/2010/E/kopa-measuring%20of%20second-order%20stochastic%20dominance%20portfolio%20efficiency.pdf
In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a ...
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71
Asset Allocation using Stochastic Dominance - OptiRisk Systems
https://optirisk-systems.com/blog/asset-allocation-using-stochastic-dominance/
Second order Stochastic Dominance (SSD) is particularly important in investment problems since it describes the preference of rational and risk- ...
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https://optirisk-systems.com/blog/asset-allocation-using-stochastic-dominance/
Second order Stochastic Dominance (SSD) is particularly important in investment problems since it describes the preference of rational and risk- ...
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72
second order stochastic dominance - Financial Wisdom Forum
https://www.financialwisdomforum.org/gummy-stuff/stochastic-dominance.htm
If two cumulative distributions F and G satisfy F(r) ≤ G(r) for all r-values, then we say that: F has first order stochastic dominance over G.
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https://www.financialwisdomforum.org/gummy-stuff/stochastic-dominance.htm
If two cumulative distributions F and G satisfy F(r) ≤ G(r) for all r-values, then we say that: F has first order stochastic dominance over G.
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73
Second order of stochastic dominance ... - Macquarie University
https://researchers.mq.edu.au/en/publications/second-order-of-stochastic-dominance-efficiency-vs-mean-variance-
We illustrate that the second order stochastic dominance (SSD) efficient set is the solution of a multi-objective optimization problem.
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https://researchers.mq.edu.au/en/publications/second-order-of-stochastic-dominance-efficiency-vs-mean-variance-
We illustrate that the second order stochastic dominance (SSD) efficient set is the solution of a multi-objective optimization problem.
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74
A Stochastic Dominance Analysis of Income Distributions in ...
https://www.monash.edu/__data/assets/pdf_file/0010/926056/2516chowrebeccavalenzuelawong.docx.pdf
In addition, Atkinson (1970) shows that second-order stochastic dominance is equivalent to the Lorenz dominance if the means of the compared income series ...
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https://www.monash.edu/__data/assets/pdf_file/0010/926056/2516chowrebeccavalenzuelawong.docx.pdf
In addition, Atkinson (1970) shows that second-order stochastic dominance is equivalent to the Lorenz dominance if the means of the compared income series ...
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75
An approximation scheme for stochastic programs with ...
https://www.aimsciences.org/article/doi/10.3934/naco.2016021
It is well known that second order dominance relation between two random variables can be described by a system of stochastic semi-infinite inequalities ...
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https://www.aimsciences.org/article/doi/10.3934/naco.2016021
It is well known that second order dominance relation between two random variables can be described by a system of stochastic semi-infinite inequalities ...
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76
Ranking Alternative Prospects: A Stochastic Dominance ...
https://ferdi.fr/dl/df-YrWD2Pr2AbB6uEbEq1H84QgR/document-ranking-alternative-prospects-a-stochastic-dominance-based.pdf
have long been recognized in the finance literature, where the conventional second order stochastic dominance criterion appropriate for risk ...
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https://ferdi.fr/dl/df-YrWD2Pr2AbB6uEbEq1H84QgR/document-ranking-alternative-prospects-a-stochastic-dominance-based.pdf
have long been recognized in the finance literature, where the conventional second order stochastic dominance criterion appropriate for risk ...
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77
Re: st: RE: RE: Stochastic dominance! - Stata
https://www.stata.com/statalist/archive/2009-04/msg00813.html
Rao@agr.uni-goettingen.de>: > Note that second-order stochastic dominance (SOSD) is essentially the > same thing as generalized Lorenz ...
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https://www.stata.com/statalist/archive/2009-04/msg00813.html
Rao@agr.uni-goettingen.de>: > Note that second-order stochastic dominance (SOSD) is essentially the > same thing as generalized Lorenz ...
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78
Journals AZ - Scientific Research Publishing
https://scirp.org/reference/referencespapers.aspx?referenceid=197242
J. Meyer, “Second Degree Stochastic Dominance with Respect to a Function,” International Economic Review, Vol. 18, No. 2, 1977, pp. 476-487.
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https://scirp.org/reference/referencespapers.aspx?referenceid=197242
J. Meyer, “Second Degree Stochastic Dominance with Respect to a Function,” International Economic Review, Vol. 18, No. 2, 1977, pp. 476-487.
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79
Financial Economics- CPP
http://publication.aercafricalibrary.org/bitstream/handle/123456789/2245/3.2%20The%20Concept%20of%20Second%20Order%20Stochastic%20Dominance.pdf?sequence=1&isAllowed=y
Compare the two companies using second-order stochastic dominance criterion. Godfrey Ndlovu (AERC). Financial Economics- CPP. January 1, 2021.
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http://publication.aercafricalibrary.org/bitstream/handle/123456789/2245/3.2%20The%20Concept%20of%20Second%20Order%20Stochastic%20Dominance.pdf?sequence=1&isAllowed=y
Compare the two companies using second-order stochastic dominance criterion. Godfrey Ndlovu (AERC). Financial Economics- CPP. January 1, 2021.
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80
Stochastic Dominance Analysis - Statalist
https://www.statalist.org/forums/forum/general-stata-discussion/general/1470490-stochastic-dominance-analysis
I am trying conduct stochastic dominance analysis (First Order and Second Order Stochastic Dominance) to compare the cumulative ...
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https://www.statalist.org/forums/forum/general-stata-discussion/general/1470490-stochastic-dominance-analysis
I am trying conduct stochastic dominance analysis (First Order and Second Order Stochastic Dominance) to compare the cumulative ...
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81
Stochastic dominance - Wikiwand
https://www.wikiwand.com/en/Stochastic_dominance
First-order stochastic dominance of A over B is a sufficient condition for second-order dominance of A over B. · If B is a mean-preserving spread of A, then A ...
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https://www.wikiwand.com/en/Stochastic_dominance
First-order stochastic dominance of A over B is a sufficient condition for second-order dominance of A over B. · If B is a mean-preserving spread of A, then A ...
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82
Standard Stochastic Dominance
https://www.dept.aueb.gr/sites/default/files/deos/Post.27-10-2014.pdf
annum relative to the second-order SD criterion and 50 to 200 basis ... Key words: Stochastic dominance, utility theory, standardness, ...
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https://www.dept.aueb.gr/sites/default/files/deos/Post.27-10-2014.pdf
annum relative to the second-order SD criterion and 50 to 200 basis ... Key words: Stochastic dominance, utility theory, standardness, ...
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83
On the Third Order Stochastic Dominance for Risk-Averse and ...
https://mpra.ub.uni-muenchen.de/75002/
This paper presents some interesting new properties of third order stochastic dominance (TSD) for risk-averse and risk-seeking investors.
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https://mpra.ub.uni-muenchen.de/75002/
This paper presents some interesting new properties of third order stochastic dominance (TSD) for risk-averse and risk-seeking investors.
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84
Risk Aversion for an Electricity Retailer with Second-Order ...
https://www.uni-due.de/~si203go/preprint678.pdf
This problem is formulated as a two-stage stochastic program including second-order stochastic dominance constraints. The stochastic dominance theory is used in ...
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https://www.uni-due.de/~si203go/preprint678.pdf
This problem is formulated as a two-stage stochastic program including second-order stochastic dominance constraints. The stochastic dominance theory is used in ...
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85
Stochastic Dominance and Cumulative Prospect Theory
https://www.fbbva.es/wp-content/uploads/2007/01/DT_2007_02.pdf
Second order stochastic dominance, cumulative prospect theory, value function, probability weighting function. □ Palabras clave.
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https://www.fbbva.es/wp-content/uploads/2007/01/DT_2007_02.pdf
Second order stochastic dominance, cumulative prospect theory, value function, probability weighting function. □ Palabras clave.
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86
Improved Portfolio Choice Using Second-Order Stochastic ...
https://d-nb.info/1098136217/34
construct portfolios such that their second-order stochastic dominance over a typical pension fund benchmark is most probable.
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https://d-nb.info/1098136217/34
construct portfolios such that their second-order stochastic dominance over a typical pension fund benchmark is most probable.
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87
Stochastic Dominance via Quantile Regression
http://openknowledge.nau.edu/1486/7/Ng_P_etal_2011_FrankeWPS_11-01%281%29.pdf
Hence, the first order stochastic dominance can be further re-formulated as, in the pooled quantile regression model (6), β(τ) ≥ 0, for all τ.
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http://openknowledge.nau.edu/1486/7/Ng_P_etal_2011_FrankeWPS_11-01%281%29.pdf
Hence, the first order stochastic dominance can be further re-formulated as, in the pooled quantile regression model (6), β(τ) ≥ 0, for all τ.
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88
SECOND-ORDER IMPRECISE STOCHASTIC DOMINANCE
https://scholarbank.nus.edu.sg/handle/10635/128209
Stochastic dominance plays an important role in decision making when decision maker's risk preference represented by his or her utility function ...
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https://scholarbank.nus.edu.sg/handle/10635/128209
Stochastic dominance plays an important role in decision making when decision maker's risk preference represented by his or her utility function ...
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89
Third Degree Stochastic Dominance and Inequality ...
https://www.diw.de/sixcms/detail.php?id=57636
space of random variables. Our first result shows that the "highest" stochastic dominance order satisfying the VNM independence axiom is the second one.
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https://www.diw.de/sixcms/detail.php?id=57636
space of random variables. Our first result shows that the "highest" stochastic dominance order satisfying the VNM independence axiom is the second one.
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90
Second-Order Stochastic Dominance Constraints for Risk ...
https://ncesr.unl.edu/wordpress/wp-content/uploads/2019/07/Second-Order-Stochastic-Dominance-Constraints-for-Risk-Management-of-a-Wind-Power-Producer%E2%80%99s-Optimal-Bidding-Strategy.pdf
paper proposes the use of the second-order stochastic dominance. 11 constraints (SOSDCs) for risk management of wind producer's. 12 bidding strategies.
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https://ncesr.unl.edu/wordpress/wp-content/uploads/2019/07/Second-Order-Stochastic-Dominance-Constraints-for-Risk-Management-of-a-Wind-Power-Producer%E2%80%99s-Optimal-Bidding-Strategy.pdf
paper proposes the use of the second-order stochastic dominance. 11 constraints (SOSDCs) for risk management of wind producer's. 12 bidding strategies.
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91
Optimization with Second-Order Stochastic Dominance ... - MDPI
https://mdpi-res.com/d_attachment/jrfm/jrfm-09-00011/article_deploy/jrfm-09-00011-v2.pdf?version=1476959394
Abstract: The paper compares portfolio optimization with the Second-Order Stochastic Dominance. (SSD) constraints with mean-variance and ...
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https://mdpi-res.com/d_attachment/jrfm/jrfm-09-00011/article_deploy/jrfm-09-00011-v2.pdf?version=1476959394
Abstract: The paper compares portfolio optimization with the Second-Order Stochastic Dominance. (SSD) constraints with mean-variance and ...
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92
Third-degree stochastic dominance and inequality measurement
https://liser.elsevierpure.com/en/publications/third-degree-stochastic-dominance-and-inequality-measurement
We motivate these two new binary relations and characterize them in the spirit of the Lorenz characterization of the second-degree stochastic order, ...
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https://liser.elsevierpure.com/en/publications/third-degree-stochastic-dominance-and-inequality-measurement
We motivate these two new binary relations and characterize them in the spirit of the Lorenz characterization of the second-degree stochastic order, ...
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93
Stochastic optimization problems with second order ... - DML-CZ
https://dml.cz/handle/10338.dmlcz/147607
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric. (English). Kybernetika, vol. 54 (2018), issue 6, ...
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https://dml.cz/handle/10338.dmlcz/147607
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric. (English). Kybernetika, vol. 54 (2018), issue 6, ...
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94
Brief introduction to multidimensional stochastic dominance
https://www.ophi.org.uk/wp-content/uploads/1.-OPHI-HDCA-SS11-Multidimensional-Stochastic-Dominance-GY.pdf
In the general multivariate case, first-order conditions are based on all cumulative and/or survival functions combining all variables. They include all.
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https://www.ophi.org.uk/wp-content/uploads/1.-OPHI-HDCA-SS11-Multidimensional-Stochastic-Dominance-GY.pdf
In the general multivariate case, first-order conditions are based on all cumulative and/or survival functions combining all variables. They include all.
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95
Lab 4: Stochastic Dominance Testing Short Course on Poverty ...
https://sites.lafayette.edu/stifeld/files/2010/06/Lab4.pdf
if second order dominance holds. In particular, if A second-order dominates B, then A is a better distribution than B for all welfare functions that are ...
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https://sites.lafayette.edu/stifeld/files/2010/06/Lab4.pdf
if second order dominance holds. In particular, if A second-order dominates B, then A is a better distribution than B for all welfare functions that are ...
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