نتایج جستجو برای: stochastic dominance
تعداد نتایج: 153205 فیلتر نتایج به سال:
Élitisme et Dominance Stochastique Résumé La dominance stochastique est traditionnellement associée à la mesure du risque et de l'inégalité et repose sur la concavité de la fonction d'utilité. Nous prétendons que l'approche en terme de dominance stochastique a des implications qui vont au-delà de la mesure du risque et de l'inégalité pour peu que l'on procède à certains ajustements. Nous appliq...
We propose a new stochastic dominance (SD) criterion based on Kimball’s (1993) notion of standard risk aversion, which assumes decreasing absolute risk aversion (DARA) and decreasing absolute prudence (DAP). To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a discrete or polyhedral choice set in a general state-space model. ...
For addressing the Allis-type anomalies, a fractional degree reference dependent stochastic dominance rule is developed which generalization of integer rules. This new can effectively explain why risk comparison does not satisfy translational invariance and scaling in some cases. The also has good property that it compatible with endowment effect risk. help risk-averse but absolute decision mak...
In this paper, we study the dominance relation under a stochastic setting. Let S be a set of n coloredstochastic points in R, each of which is associated with an existence probability. We investigate theproblem of computing the probability that a realization of S contains inter-color dominances, whichwe call the colored stochastic dominance (CSD) problem. We propose the first algori...
We give a simple proof of Strassen’s theorem on stochastic dominance using linear programming duality, without requiring measure-theoretic arguments. The result extends to generalized inequalities using conic optimization duality and provides an additional, intuitive optimization formulation for stochastic dominance.
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