نتایج جستجو برای: stochastic dominance
تعداد نتایج: 153205 فیلتر نتایج به سال:
estimation of poverty line and assessing the variation of poverty in rural areas of isfahan province
in this study, first we estimated the poverty line of household and poverty indices in rural areas between1999 to 2004. stochastic dominance test is applied to compare the extent of poverty in the beginning year and the end year of third- socio economic development plan of iran. the most important feature of this technique is providing comparative comparison of poverty in two years or different...
Linear stochastic programming problems with first order stochastic dominance (FSD) constraints are non-convex. For their mixed 0–1 linear programming formulation we present two convex relaxations based on second order stochastic dominance (SSD). We develop necessary and sufficient conditions for FSD, used to obtain a disjunctive programming formulation and to strengthen one of the SSD-based rel...
Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random wealth variable Xi dominates Yi via i-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN + XM] dominates the lottery [XN + XM, YN + YM] via (N + M)-order stochastic dominance. The basic idea is that a decision maker exhibiting (N + M)-order stochas...
Stochastic dominance (SD) has been identified as an important method for effi cient diversification. However, the SD rule is too rigid in that it remains silent on some obvious preferences between two distributions for most investors as pointed out by Leshno and Levy (2002). Thus the purpose of this paper is to derive an effi cient frontier according to generalized almost stochastic dominance (...
By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combination...
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