Mean-risk tests of stochastic dominance

2011 ◽  
Vol 28 (2) ◽  
Author(s):  
Darinka Dentcheva ◽  
Gregory J. Stock ◽  
Ludmyla Rekeda
Keyword(s):  
Stochastic Dominance ◽  
Mean Risk

scholarly journals Efficiency Criteria and Risk Aversion: An Empirical Evaluation

1988 ◽  
Vol 20 (1) ◽  
pp. 171-178 ◽  
Author(s):  
Michael E. Wetzstein ◽  
Philip I. Szmedra ◽  
Ronald W. McClendon ◽  
David M. Edwards
Keyword(s):  
Risk Analysis ◽  
Simulation Model ◽  
Stochastic Dominance ◽  
Empirical Evaluation ◽  
Mean Difference ◽  
Gini Mean Difference ◽  
Crop Simulation ◽  
Mean Variance ◽  
Conceptual Link ◽  
Mean Risk

AbstractA conceptual link among mean-variance (EV), stochastic dominance (SD), mean-risk (ET), and Gini mean difference (EG) is established for determining risk efficient decision sets. The theoretical relations among the various efficiency criteria are then empirically demonstrated with a soybean and wheat double-crop simulation model. Empirical results associated with extended Gini mean difference (EEG) and extended mean-absolute Gini (EEΓ) for risk analysis are encouraging.

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

Third Degree Stochastic Dominance and Mean-Risk Analysis

2000 ◽  
Vol 46 (2) ◽  
pp. 289-301 ◽  
Author(s):  
Jun-ya Gotoh ◽  
Hiroshi Konno
Keyword(s):  
Risk Analysis ◽  
Stochastic Dominance ◽  
Mean Risk

scholarly journals Dual Stochastic Dominance and Related Mean-Risk Models

2002 ◽  
Vol 13 (1) ◽  
pp. 60-78 ◽  
Author(s):  
WLodzimierz Ogryczak ◽  
Andrzej Ruszczynski
Keyword(s):  
Stochastic Dominance ◽  
Risk Models ◽  
Mean Risk

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
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