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Convex stochastic dominance with continuous distribution functions

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Cited by:

  1. Levy, Moshe, 2022. "An inter-temporal CAPM based on First order Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 298(2), pages 734-739.
  2. Drynan, Ross G., 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 30(1), pages 1-10, April.
  3. Arvanitis, Stelios & Post, Thierry & Potì, Valerio & Karabati, Selcuk, 2021. "Nonparametric tests for Optimal Predictive Ability," International Journal of Forecasting, Elsevier, vol. 37(2), pages 881-898.
  4. Egozcue, Martin & Wong, Wing-Keung, 2010. "Gains from diversification on convex combinations: A majorization and stochastic dominance approach," European Journal of Operational Research, Elsevier, vol. 200(3), pages 893-900, February.
  5. Zentner, Robert P. & Greene, Duty D. & Hickenbotham, Terry L. & Eidman, Vernon R., 1981. "Ordinary And Generalized Stochastic Dominance: A Primer," Staff Papers 14184, University of Minnesota, Department of Applied Economics.
  6. Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
  7. Hardaker, J. Brian & Lien, Gudbrand D., 2003. "Stochastic Efficiency Analysis With Risk Aversion Bounds: A Simplified Approach," Working Papers 12954, University of New England, School of Economics.
  8. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Management Information, Decision Sciences, and Financial Economics: A Connection," Tinbergen Institute Discussion Papers 18-004/III, Tinbergen Institute.
  9. Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
  10. Levy, Moshe, 2024. "Does constant asset allocation dominate buy-and-hold?," Finance Research Letters, Elsevier, vol. 62(PB).
  11. Stephen Bazen & Patrick Moyes, 2012. "Elitism and stochastic dominance," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 39(1), pages 207-251, June.
  12. Liqun Liu & Jack Meyer, 2021. "Stochastic superiority," Journal of Risk and Uncertainty, Springer, vol. 62(3), pages 225-246, June.
  13. Thierry Post & Milos Kopa, 2015. "Portfolio Choice based on Third-degree Stochastic Dominance, With an Application to Industry Momentum," Koç University-TUSIAD Economic Research Forum Working Papers 1527, Koc University-TUSIAD Economic Research Forum.
  14. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," JRFM, MDPI, vol. 11(1), pages 1-29, March.
  15. Steven J. Brams & William V. Gehrlein & Fred S. Roberts, 2022. "Peter C. Fishburn (1936–2021)," Theory and Decision, Springer, vol. 93(1), pages 1-6, July.
  16. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, And Big Data: Connections," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 36-94, December.
  17. Post, Thierry, 2008. "On the dual test for SSD efficiency: With an application to momentum investment strategies," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1564-1573, March.
  18. Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
  19. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016. "Management Science, Economics and Finance: A Connection," Tinbergen Institute Discussion Papers 16-040/III, Tinbergen Institute.
  20. Cochrane, Mark & Lodwick, Weldon & Raskin, Rob, 1984. "The Implementation of Convex Set Stochastic Dominance for Applied Risk Analysis," Regional Research Projects >1984: S-180 Annual Meeting, March 25-28, 1984, New Orleans, Louisiana 307225, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  21. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Econometric Institute Research Papers 18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  23. Thierry Post & Yi Fang & Miloš Kopa, 2015. "Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance," Management Science, INFORMS, vol. 61(7), pages 1615-1629, July.
  24. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 42676, University Library of Munich, Germany.
  25. Chan, Raymond H. & Clark, Ephraim & 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," MPRA Paper 75002, University Library of Munich, Germany.
  26. Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
  27. Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
  28. Wetzstein, Michael E. & Szmedra, Philip I. & McClendon, Ronald W. & Edwards, David M., 1988. "Efficiency Criteria And Risk Aversion: An Empirical Evaluation," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(1), pages 1-8, July.
  29. Thierry Post & Miloš Kopa, 2017. "Portfolio Choice Based on Third-Degree Stochastic Dominance," Management Science, INFORMS, vol. 63(10), pages 3381-3392, October.
  30. Yu Xia & Bintong Chen & Panos Kouvelis, 2008. "Market-Based Supply Chain Coordination by Matching Suppliers' Cost Structures with Buyers' Order Profiles," Management Science, INFORMS, vol. 54(11), pages 1861-1875, November.
  31. Post, G.T., 2005. "Wanted: A Test for FSD Optimality of a Given Portfolio," ERIM Report Series Research in Management ERS-2005-034-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  32. Reid, Donald W. & Tew, Bernard V., 1987. "An Evaluation Of Expected Value And Expected Value-Variance Criteria In Achieving Risk Efficiency In Crop Selection," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 16(2), pages 1-9, October.
  33. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  34. W. Wong & R. Chan, 2008. "Prospect and Markowitz stochastic dominance," Annals of Finance, Springer, vol. 4(1), pages 105-129, January.
  35. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(1), pages 1-29, March.
  36. Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
  37. Andrey Lizyayev, 2010. "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers 10-084/2, Tinbergen Institute.
  38. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  39. Gordon Anderson & Thierry Post, 2018. "Increasing discriminatory power in well-being analysis using convex stochastic dominance," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 51(3), pages 551-561, October.
  40. Martin Branda & Miloš Kopa, 2014. "On relations between DEA-risk models and stochastic dominance efficiency tests," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(1), pages 13-35, March.
  41. Drynan, Ross G., 1987. "A Generalised Concept of Dominance in Linear Programming Models," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 55(02), pages 1-7, August.
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