Stochastic Dominance and the Bijective Ratio of Online Algorithms
Sign Up to like & getrecommendations! Published in 2019 at "Algorithmica"
DOI: 10.1007/s00453-019-00638-w
Abstract: Stochastic dominance is a technique for evaluating the performance of online algorithms that provides an intuitive, yet powerful stochastic order between the compared algorithms. When there is a uniform distribution over the request sequences, this… read more here.
Keywords: bijective ratio; online algorithms; stochastic dominance; online ... See more keywords
Stochastic dominance efficient sets and stochastic spanning
Sign Up to like & getrecommendations! Published in 2021 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-021-00325-y
Abstract: We derive sufficient conditions for non-emptiness of the efficient sets for stochastic dominance relations, usually employed in economics and finance. We do so via the concept of stochastic spanning and its characterization by a saddle-type… read more here.
Keywords: efficient sets; finance; stochastic dominance; sets stochastic ... See more keywords
Aspects of optimization with stochastic dominance
Sign Up to like & getrecommendations! Published in 2017 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2299-9
Abstract: We consider stochastic optimization problems with integral stochastic order constraints. This problem class is characterized by an infinite number of constraints indexed by a function space of increasing concave utility functions. We are interested in… read more here.
Keywords: aspects optimization; optimization stochastic; problem class; stochastic dominance ... See more keywords
Revisiting generalized almost stochastic dominance
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Operations Research"
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
Long-term individual financial planning under stochastic dominance constraints
Sign Up to like & getrecommendations! Published in 2020 at "Annals of Operations Research"
DOI: 10.1007/s10479-019-03253-8
Abstract: We analyse an optimal goal-based households’ asset-liability management problem characterised by a real estate target and a retirement goal over a long-term planning horizon. The problem is formulated as a multistage stochastic program and we… read more here.
Keywords: stochastic dominance; dominance; term individual; long term ... See more keywords
TESTING FOR PROSPECT AND MARKOWITZ STOCHASTIC DOMINANCE EFFICIENCY
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.01.006
Abstract: We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ… read more here.
Keywords: markowitz stochastic; dominance; stochastic dominance; dominance efficiency ... See more keywords
An Improved Bootstrap Test for Restricted Stochastic Dominance
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.08.016
Abstract: Abstract Bootstrap Testing for restricted stochastic dominance of a pre-specified order between two distributions is of interest in many areas of economics. This paper develops a new method for improving the performance of such tests… read more here.
Keywords: stochastic dominance; restricted stochastic; test; non modified ... See more keywords
Spanning tests for Markowitz stochastic dominance
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.12.005
Abstract: We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some… read more here.
Keywords: spanning tests; markowitz stochastic; dominance spanning; tests markowitz ... See more keywords
Stochastic dominance tests
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2020.103849
Abstract: Abstract We develop stochastic dominance tests of a given prospect compared with multiple choice alternatives. We account for all types of preferences. The tests are formulated in terms of linear as well as MIP models,… read more here.
Keywords: dominance tests; dominance; stochastic dominance;
Further properties of fractional stochastic dominance
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.44
Abstract: Abstract A continuum of stochastic dominance rules, also referred to as fractional stochastic dominance (SD), was introduced by Müller, Scarsini, Tsetlin, and Winkler (2017) to cover preferences from first- to second-order SD. Fractional SD can… read more here.
Keywords: fractional pure; stochastic dominance; properties fractional; fractional stochastic ... See more keywords
Bayesian assessment of Lorenz and stochastic dominance
Sign Up to like & getrecommendations! Published in 2020 at "Canadian Journal of Economics"
DOI: 10.1111/caje.12443
Abstract: Because of their applicability for ordering distributions within general classes of utility and social welfare functions, sampling theory tests for stochastic and Lorenz dominance have attracted considerable attention in the literature. We contribute to this… read more here.
Keywords: dominance; stochastic dominance; bayesian assessment; assessment lorenz ... See more keywords