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Stochastic Dominance and Cumulative Prospect Theory
Citations
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Cited by:
- Fong, Wai Mun, 2016. "Stochastic dominance and the omega ratio," Finance Research Letters, Elsevier, vol. 17(C), pages 7-9.
- Jinrui Pan & Craig S. Webb & Horst Zank, 2019. "Delayed probabilistic risk attitude: a parametric approach," Theory and Decision, Springer, vol. 87(2), pages 201-232, September.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning tests for Markowitz stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009. "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 81-102.
- Jia Liu & Zhiping Chen & Giorgio Consigli, 2021. "Interval-based stochastic dominance: theoretical framework and application to portfolio choices," Annals of Operations Research, Springer, vol. 307(1), pages 329-361, December.
- Mao, Tiantian & Wang, Ruodu, 2022. "Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 103(C).
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning analysis of stock market anomalies under prospect stochastic dominance,"
Working Papers
unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
- Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Peter Brooks & Simon Peters & Horst Zank, 2014.
"Risk behavior for gain, loss, and mixed prospects,"
Theory and Decision, Springer, vol. 77(2), pages 153-182, August.
- Peter Brooks & Simon Peters & Horst Zank, 2011. "Risk Behaviour for Gain, Loss and Mixed Prospects," Economics Discussion Paper Series 1123, Economics, The University of Manchester.
- Bi, Hongwei & Zhu, Wei, 2022. "Nonmonotonic risk preferences over lottery comparison," European Journal of Operational Research, Elsevier, vol. 303(3), pages 1458-1468.
- Manel Baucells & Cristina Rata, 2006.
"A Survey Study of Factors Influencing Risk-Taking Behavior in Real-World Decisions Under Uncertainty,"
Decision Analysis, INFORMS, vol. 3(3), pages 163-176, September.
- Rata Cristina & Baucells Alibés Manel, 2006. "A Survey Study of Factors Influencing Risk Taking Behavior in Real World Decisions under Uncertainty," Working Papers 201033, Fundacion BBVA / BBVA Foundation.
- Ulrich Schmidt & Chris Starmer & Robert Sugden, 2008.
"Third-generation prospect theory,"
Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 203-223, June.
- Schmidt, Ulrich & Starmer, Chris & Sugden, Robert, 2008. "Third-generation prospect theory," Open Access Publications from Kiel Institute for the World Economy 28932, Kiel Institute for the World Economy (IfW Kiel).
- Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020. "Fractional Degree Stochastic Dominance," Management Science, INFORMS, vol. 66(10), pages 4630-4647, October.
- Freudenreich, Hanna & Musshoff, Oliver & Wiercinski, Ben, 2017. "The Relationship between Farmers' Shock Experiences and their Uncertainty Preferences - Experimental Evidence from Mexico," GlobalFood Discussion Papers 256212, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
- Neszveda, G., 2019. "Essays on behavioral finance," Other publications TiSEM 05059039-5236-42a3-be1b-3, Tilburg University, School of Economics and Management.
- Baucells, Manel & Heukamp, Franz H., 2004. "Reevaluation of the results of Levy and Levy (2002a)," Organizational Behavior and Human Decision Processes, Elsevier, vol. 94(1), pages 15-21, May.
- Chin Hon Tan, 2015. "Weighted Almost Stochastic Dominance: Revealing the Preferences of Most Decision Makers in the St. Petersburg Paradox," Decision Analysis, INFORMS, vol. 12(2), pages 74-80, June.
- Arvanitis, Stelios & Topaloglou, Nikolas, 2017. "Testing for prospect and Markowitz stochastic dominance efficiency," Journal of Econometrics, Elsevier, vol. 198(2), pages 253-270.
- Alfred Müller & Marco Scarsini & Ilia Tsetlin & Robert L. Winkler, 2017. "Between First- and Second-Order Stochastic Dominance," Management Science, INFORMS, vol. 63(9), pages 2933-2947, September.
- Chang, Hao-Wen & Chiang, Yi-Chein & Ke, Mei-Chu & Wang, Ming-Hui & Nguyen, Tien-Trung, 2023. "Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 312-329.
- Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
- Thomas Kourouxous & Thomas Bauer, 2019. "Violations of dominance in decision-making," Business Research, Springer;German Academic Association for Business Research, vol. 12(1), pages 209-239, April.
- Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015.
"Rationalizing investors’ choices,"
Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
- Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
- Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin, 2016. "Comparing risks with reference points: A stochastic dominance approach," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 105-116.
- Stefan T. Trautmann & Ferdinand M. Vieider & Peter P. Wakker, 2011. "Preference Reversals for Ambiguity Aversion," Management Science, INFORMS, vol. 57(7), pages 1320-1333, July.
- Stelios Arvanitis & Nikolas Topaloglou, 2015. "Consistent tests for risk seeking behavior: A stochastic dominance approach," Working Papers 201511, Athens University Of Economics and Business, Department of Economics.
- Baucells, Manel & Rata, Cristina, 2004. "Framing and stakes: A survey study of decisions under uncertainty," IESE Research Papers D/568, IESE Business School.
- Matteo Del Vigna, 2012. "Stochastic dominance for law invariant preferences: The happy story of elliptical distributions," Working Papers - Mathematical Economics 2012-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, vol. 103(1), pages 45-48, April.
- Enrico Diecidue & Jeroen Van De Ven, 2008. "Aspiration Level, Probability Of Success And Failure, And Expected Utility," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(2), pages 683-700, May.
- George Wu & Alex B. Markle, 2008. "An Empirical Test of Gain-Loss Separability in Prospect Theory," Management Science, INFORMS, vol. 54(7), pages 1322-1335, July.
- Fang, Yi, 2012. "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 528-547.