Stochastic Dominance and Risk Measures

1998 ◽  
pp. 245-257
Author(s):  
Haim Levy
Keyword(s):  
Stochastic Dominance ◽  
Risk Measures

Stochastic Dominance and Risk Measures

2016 ◽  
pp. 227-238
Author(s):  
Haim Levy
Keyword(s):  
Stochastic Dominance ◽  
Risk Measures

scholarly journals From stochastic dominance to mean-risk models: Semideviations as risk measures

1999 ◽  
Vol 116 (1) ◽  
pp. 33-50 ◽  
Author(s):  
Włodzimierz Ogryczak ◽  
Andrzej Ruszczyński
Keyword(s):  
Stochastic Dominance ◽  
Risk Measures ◽  
Risk Models ◽  
Mean Risk

Dual Stochastic Dominance and Quantile Risk Measures

2002 ◽  
Vol 9 (5) ◽  
pp. 661-680 ◽  
Author(s):  
Wlodzimierz Ogryczak ◽  
Andrzej Ruszczynski
Keyword(s):  
Stochastic Dominance ◽  
Risk Measures

scholarly journals Stochastic dominance with respect to a capacity and risk measures

2014 ◽  
Vol 31 (3-4) ◽  
Author(s):  
Miryana Grigorova
Keyword(s):  
At Risk ◽  
Stochastic Dominance ◽  
Value At Risk ◽  
Risk Measures ◽  
Distortion Function ◽  
Dominance Relation ◽  
Measurable Functions ◽  
Classical Notion ◽  
Choquet Integrals ◽  
Set Function

AbstractIn our previous work, we have extended the classical notion of increasing convex stochastic dominance relation with respect to a probability to the more general case of a normalized monotone (but not necessarily additive) set function, also called a capacity. In the present paper, we pursue that work by studying the set of monetary risk measures (defined on the space of bounded real-valued measurable functions) satisfying the properties of comonotonic additivity and consistency with respect to the generalized stochastic dominance relation. Under suitable assumptions on the underlying capacity space, we characterize that class of risk measures in terms of Choquet integrals with respect to a distorted capacity whose distortion function is concave. Kusuoka-type characterizations are also established. A generalization to the case of a capacity of the Tail Value at Risk is provided as an example. It is also shown that some well-known results about Choquet integrals with respect to a distorted probability do not necessarily hold true in the more general case of a distorted capacity.

Econometric Analysis of Stochastic Dominance

2019 ◽  
Author(s):  
Yoon-Jae Whang
Keyword(s):  
Stochastic Dominance ◽  
Econometric Analysis

Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans

2017 ◽  
Vol 28 (4) ◽  
pp. 99-126
Author(s):  
Yongtae Kim ◽  
정도영 ◽  
Joo-Ho Sung
Keyword(s):  
Stochastic Dominance ◽  
Defined Contribution ◽  
Defined Contribution Plans

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk
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