A stochastic dominance approach to financial risk management strategies

A stochastic dominance approach to financial risk management strategies ¬リニ

The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily capital charges (DCC) and associa...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

A Discrete Stochastic Approach to Hotel Revenue Management

  A linear programming model has been presented for finding an appropriate planning in order to maximize hotel revenue. In this model, a special planning horizon has been considered that includes several busy days of a year. There are several reservation periods that may start a few months earlier. Each period of reservation may have different prices and so result different incomes. Hotel custo...

A Stochastic Dominance Approach to Spanning

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings sugges...

Testing for risk aversion: a stochastic dominance approach

We conduct an experiment based on the Stochastic Dominance framework in order to investigate riskaversion in isolation of other effects such as subjective probability distortion, the ‘certainty effect’, and ‘framing’ effects. The result is striking: most individuals are not risk-averse.  2001 Elsevier Science B.V. All rights reserved.