A note on almost stochastic dominance

Xu Guo; Xuehu Zhu; Wing Keung WONG; Lixing ZHU

doi:10.1016/j.econlet.2013.08.020

A note on almost stochastic dominance

Xu Guo, Xuehu Zhu, Wing Keung WONG, Lixing ZHU^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

25 Citations (Scopus)

Abstract

Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

Original language	English
Pages (from-to)	252-256
Number of pages	5
Journal	Economics Letters
Volume	121
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2013.08.020
Publication status	Published - Nov 2013

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Almost stochastic dominance
Expected-utility maximization
Hierarchy property
Risk averter

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10.1016/j.econlet.2013.08.020

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title = "A note on almost stochastic dominance",

abstract = "Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.",

keywords = "Almost stochastic dominance, Expected-utility maximization, Hierarchy property, Risk averter",

author = "Xu Guo and Xuehu Zhu and WONG, {Wing Keung} and Lixing ZHU",

note = "Funding Information: The authors are grateful to the Editor, Professor Roberto Serrano, and an anonymous referee for substantive comments that have significantly improved this manuscript. This research is partially supported by grants from the Hong Kong Baptist University and the Research Grants Council of Hong Kong . ",

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AU - Guo, Xu

AU - Zhu, Xuehu

AU - WONG, Wing Keung

AU - ZHU, Lixing

N1 - Funding Information: The authors are grateful to the Editor, Professor Roberto Serrano, and an anonymous referee for substantive comments that have significantly improved this manuscript. This research is partially supported by grants from the Hong Kong Baptist University and the Research Grants Council of Hong Kong .

PY - 2013/11

Y1 - 2013/11

N2 - Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

AB - Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

KW - Almost stochastic dominance

KW - Expected-utility maximization

KW - Hierarchy property

KW - Risk averter

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DO - 10.1016/j.econlet.2013.08.020

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SN - 0165-1765

VL - 121

SP - 252

EP - 256

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

A note on almost stochastic dominance

Abstract

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