Almost stochastic dominance for risk averters and risk seeker

Xu Guo; Wing Keung Wong; Lixing Zhu

doi:10.1016/j.frl.2016.05.005

Almost stochastic dominance for risk averters and risk seeker

Xu Guo
, Wing Keung Wong^*
, Lixing Zhu

^*Corresponding author for this work

Department of Mathematics

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

16 Citations (Scopus)

Abstract

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

Original language	English
Pages (from-to)	15-21
Number of pages	7
Journal	Finance Research Letters
Volume	19
DOIs	https://doi.org/10.1016/j.frl.2016.05.005
Publication status	Published - Nov 2016

User-Defined Keywords

Almost stochastic dominance
Expected-utility maximization
Generalized almost stochastic dominance
Moments
Risk averters
Risk seekers

Access to Document

10.1016/j.frl.2016.05.005

Cite this

@article{08702c6f9fa643f7aaeccc68e4510545,

title = "Almost stochastic dominance for risk averters and risk seeker",

abstract = "In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.",

keywords = "Almost stochastic dominance, Expected-utility maximization, Generalized almost stochastic dominance, Moments, Risk averters, Risk seekers",

author = "Xu Guo and Wong, \{Wing Keung\} and Lixing Zhu",

note = "Funding Information: The authors are grateful to Brian Lucey, the Editor-in-Chief, and anonymous referee for substantive comments that have significantly improved this manuscript. The authors would like to thank Howard E. Thompson for his valuable comments that have significantly improved this manuscript. The second author would also like to thank Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research has been partially supported by grants from the Natural Science Foundation of Jiangsu Province, China (grant number BK20150732), Beijing Normal University, Hong Kong Baptist University, the Research Grants Council (RGC) of Hong Kong (project numbers 12502814 and 12500915), Asia University, Lingnan University and Chiang Mai University. Publisher copyright: {\textcopyright} 2016 Elsevier Inc. All rights reserved.",

year = "2016",

month = nov,

doi = "10.1016/j.frl.2016.05.005",

language = "English",

volume = "19",

pages = "15--21",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Almost stochastic dominance for risk averters and risk seeker

AU - Guo, Xu

AU - Wong, Wing Keung

AU - Zhu, Lixing

N1 - Funding Information: The authors are grateful to Brian Lucey, the Editor-in-Chief, and anonymous referee for substantive comments that have significantly improved this manuscript. The authors would like to thank Howard E. Thompson for his valuable comments that have significantly improved this manuscript. The second author would also like to thank Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research has been partially supported by grants from the Natural Science Foundation of Jiangsu Province, China (grant number BK20150732), Beijing Normal University, Hong Kong Baptist University, the Research Grants Council (RGC) of Hong Kong (project numbers 12502814 and 12500915), Asia University, Lingnan University and Chiang Mai University. Publisher copyright: © 2016 Elsevier Inc. All rights reserved.

PY - 2016/11

Y1 - 2016/11

N2 - In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

AB - In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

KW - Almost stochastic dominance

KW - Expected-utility maximization

KW - Generalized almost stochastic dominance

KW - Moments

KW - Risk averters

KW - Risk seekers

UR - https://www.scopus.com/pages/publications/84994098482

U2 - 10.1016/j.frl.2016.05.005

DO - 10.1016/j.frl.2016.05.005

M3 - Journal article

AN - SCOPUS:84994098482

SN - 1544-6123

VL - 19

SP - 15

EP - 21

JO - Finance Research Letters

JF - Finance Research Letters

ER -

Almost stochastic dominance for risk averters and risk seeker

Abstract

User-Defined Keywords

Access to Document

Other files and links

Fingerprint

Cite this