Revisiting generalized almost stochastic dominance
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DOI: 10.1007/s10479-018-2828-9
Abstract: We review the Generalized Almost Stochastic Dominance definition in Tsetlin et al. (Oper Res 63(2):363–377, 2015). We follow the classic concept of stochastic dominance in minimizing specific assumptions about decision makers’ risk attitudes as highlighted… read more here.
Keywords: stochastic dominance; dominance; revisiting generalized; generalized almost ... See more keywords
On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
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DOI: 10.1111/eufm.12431
Abstract: Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long… read more here.
Keywords: factor portfolios; almost stochastic; cryptocurrency; factor ... See more keywords