Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm

1979 ◽  
Vol 14 (5) ◽  
pp. 1059 ◽  
Author(s):  
Roger P. Bey
Keyword(s):  
Stochastic Dominance ◽  
Efficient Set

scholarly journals Stochastic dominance theory for location-scale family

2006 ◽  
Vol 2006 ◽  
pp. 1-10 ◽  
Author(s):  
Wing-Keung Wong
Keyword(s):  
Stochastic Dominance ◽  
Indifference Curve ◽  
Efficient Set ◽  
Alternative Proof ◽  
Efficient Sets ◽  
Scale Parameters ◽  
General Utility ◽  
The Mean ◽  
Mean Variance ◽  
Variance Criterion

Meyer (1987) extended the theory of mean-variance criterion to include the comparison among distributions that differ only by location and scale parameters and to include general utility functions with only convexity or concavity restrictions. In this paper, we make some comments on Meyer's paper and extend the results from Tobin (1958) that the indifference curve is convex upwards for risk averters, concave downwards for risk lovers, and horizontal for risk neutral investors to include the general conditions stated by Meyer (1987). We also provide an alternative proof for the theorem. Levy (1989) extended Meyer's results by introducing some inequality relationships between the stochastic-dominance and the mean-variance efficient sets. In this paper, we comment on Levy's findings and show that these relationships do not hold in certain situations. We further develop some properties among the first- and second-degree stochastic dominance efficient sets and the mean-variance efficient set.

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

Empirical Test of the Efficiency of UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach

2010 ◽  
Author(s):  
Zhuo Qiao ◽  
Christian de Peretti ◽  
Chia-Ying Chan ◽  
Wing-Keung Wong
Keyword(s):  
Likelihood Ratio ◽  
Likelihood Ratio Test ◽  
Stochastic Dominance ◽  
Empirical Test ◽  
Ratio Test

Portfolio Stochastic Dominance and Bank Liquidity Risk

2012 ◽  
Author(s):  
Nikolas Topaloglou ◽  
Spyros Pagratis
Keyword(s):  
Stochastic Dominance ◽  
Liquidity Risk

Do Commodities Provide Diversification Benefits? A Stochastic Dominance Efficiency Approach

2015 ◽  
Author(s):  
Charoula Daskalaki ◽  
George S. Skiadopoulos ◽  
Nikolas Topaloglou
Keyword(s):  
Stochastic Dominance
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