Higher-degree stochastic dominance optimality and efficiency

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dc.contributor.authorFang, Yi
dc.contributor.authorPost, Thierry
dc.creatorYi, Fang
dc.date.accessioned2017-12-21T05:36:53Z
dc.date.available2017-12-21T05:36:53Z
dc.date.issued2017-09-16
dc.description.abstractAbstract We characterize a range of Stochastic Dominance (SD) relations by means of finite systems of convex inequalities. For ‘SD optimality’ of degree 1 to 4 and ‘SD efficiency’ of degree 2 to 5, we obtain exact systems that can be implemented using Linear Programming or Convex Quadratic Programming. For SD optimality of degree five and higher, and SD efficiency of degree six and higher, we obtain necessary conditions. We use separate model variables for the values of the derivatives of all relevant orders at all relevant outcome levels, which allows for preference restrictions beyond the standard sign restrictions. Our systems of inequalities can be interpreted in terms of piecewise polynomial utility functions with a number of pieces that increases with the number of outcomes and the degree of SD. An empirical study analyzes the relevance of higher-order risk preferences for comparing a passive stock market index with actively managed stock portfolios in standard data sets from the empirical asset pricing literature.en_US
dc.identifierDOI:10.1016/j.ejor.2017.03.035
dc.identifier.citationYi Fang, Thierry Post, Higher-degree stochastic dominance optimality and efficiency, In European Journal of Operational Research, Volume 261, Issue 3, 2017, Pages 984-993en_US
dc.identifier.issn03772217
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0377221717302394
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/2995
dc.language.isoenen_US
dc.publisherEuropean Journal of Operational Researchen_US
dc.relation.ispartofEuropean Journal of Operational Research
dc.rights.license© 2017 Elsevier B.V. All rights reserved.
dc.subjectDecision analysisen_US
dc.subjectStochastic dominanceen_US
dc.subjectExpected utilityen_US
dc.subjectLinear programmingen_US
dc.subjectConvex quadratic programmingen_US
dc.titleHigher-degree stochastic dominance optimality and efficiencyen_US
dc.typeArticleen_US
elsevier.aggregationtypeJournal
elsevier.coverdate2017-09-16
elsevier.coverdisplaydate16 September 2017
elsevier.endingpage993
elsevier.identifier.doi10.1016/j.ejor.2017.03.035
elsevier.identifier.eid1-s2.0-S0377221717302394
elsevier.identifier.piiS0377-2217(17)30239-4
elsevier.identifier.scopusid85017153307
elsevier.issue.identifier3
elsevier.openaccess0
elsevier.openaccessarticlefalse
elsevier.openarchivearticlefalse
elsevier.startingpage984
elsevier.teaserWe characterize a range of Stochastic Dominance (SD) relations by means of finite systems of convex inequalities. For ‘SD optimality’ of degree 1 to 4 and ‘SD efficiency’ of degree 2 to 5, we obtain...
elsevier.volume261
workflow.import.sourcescience

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