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The Geometric Mean and Stochastic Dominance

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  • Jean, William H

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  • Jean, William H, 1980. "The Geometric Mean and Stochastic Dominance," Journal of Finance, American Finance Association, vol. 35(1), pages 151-158, March.
    • Handle: RePEc:bla:jfinan:v:35:y:1980:i:1:p:151-58
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    Cited by:

    1. Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 199-224, October.
    2. Nocetti, Diego C., 2013. "The LeChatelier principle for changes in risk," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 460-466.
    3. Eeckhoudt, Louis & Schlesinger, Harris & Tsetlin, Ilia, 2009. "Apportioning of risks via stochastic dominance," Journal of Economic Theory, Elsevier, vol. 144(3), pages 994-1003, May.
    4. Loubergé, Henri & Malevergne, Yannick & Rey, Béatrice, 2020. "New Results for additive and multiplicative risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 140-151.
    5. Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2023. "Stochastic dominance algorithms with application to mutual fund performance evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 681-698, January.
    6. Moore, Robert E., 1996. "Ranking income distributions using the Geometric Mean and a related general measure," MPRA Paper 10171, University Library of Munich, Germany.
    7. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    8. Silvia Facchinetti & Paolo Giudici & Silvia Angela Osmetti, 2020. "Cyber risk measurement with ordinal data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 173-185, March.
    9. Haim Levy & Zvi Lerman, 1988. "Testing The Predictive Power Of Ex-Post Efficient Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 241-254, September.
    10. Denuit, Michel M. & Eeckhoudt, Louis & Schlesinger, Harris, 2013. "When Ross meets Bell: The linex utility function," Journal of Mathematical Economics, Elsevier, vol. 49(2), pages 177-182.
    11. Huang, Rachel J., 2012. "Ambiguity aversion, higher-order risk attitude and optimal effort," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 338-345.
    12. repec:ebl:ecbull:v:7:y:2007:i:2:p:1-9 is not listed on IDEAS
    13. Pablo Gutiérrez Cubillos & Roberto Pastén, 2023. "Nonlinear risks: a unified framework," Theory and Decision, Springer, vol. 95(1), pages 11-32, July.
    14. Christophe Courbage & Henri Loubergé & Béatrice Rey, 2018. "On the properties of high-order non-monetary measures for risks," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 77-94, May.
    15. Locatelli, Giorgio & Mancini, Mauro, 2011. "Large and small baseload power plants: Drivers to define the optimal portfolios," Energy Policy, Elsevier, vol. 39(12), pages 7762-7775.
    16. Diego C. Nocetti, 2016. "Robust Comparative Statics of Risk Changes," Management Science, INFORMS, vol. 62(5), pages 1381-1392, May.
    17. Guo, Xu & Wong, Wing-Keung, 2016. "Multivariate Stochastic Dominance for Risk Averters and Risk Seekers," MPRA Paper 70637, University Library of Munich, Germany.
    18. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.
    19. Nocetti, Diego & Smith, William T., 2015. "Changes in risk and strategic interaction," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 37-46.
    20. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2014. "Moment conditions for Almost Stochastic Dominance," Economics Letters, Elsevier, vol. 124(2), pages 163-167.
    21. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.
    22. Silvia Figini & Paolo Giudici, 2013. "Measuring risk with ordinal variables," DEM Working Papers Series 032, University of Pavia, Department of Economics and Management.

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