Clear Preferences Under Partial Distribution Information

References

• Aissi H, Bazgan C, Vanderpooten D (2009) Minmax and minmax regret versions of combinatorial optimization problems: A survey. Eur. J. Oper. Res. 197(2):427–438.Crossref, Google Scholar
• Bali TG, Brown SJ, Demirtas KO (2013) Do hedge funds outperform stocks and bonds? Management Sci. 59(8):1887–1903.Link, Google Scholar
• Bali TG, Demirtas KO, Levy H, Wolf A (2009) Bonds versus stocks: Investors age and risk taking. J. Monetary Econom. 56(6):817–830.Crossref, Google Scholar
• Bernoulli D (1954) Exposition of a new theory on the measurement of risk. Econometrica 22(1):23–36. [Translated from Latin into English by Dr. Louise Sommer.]Crossref, Google Scholar
• Bertsimas D, Brown DB, Caramanis C (2011) Theory and applications of robust optimization. SIAM Rev. 53(3):464–501.Crossref, Google Scholar
• Brenner S (2015) The risk preferences of U.S. executives. Management Sci. 61(6):1344–1361.Link, Google Scholar
• Brockett PL, Garven JR (1998) A reexamination of the relationship between preferences and moment orderings by rational risk-averse investors. Geneva Papers Risk Insurance Theory 23(2):127–137.Crossref, Google Scholar
• Ebert S (2013) Moment characterization of higher-order risk preferences. Theory Decision 74(2):267–284.Crossref, Google Scholar
• Hanoch G, Levy H (1970) Efficient portfolio selection with quadratic and cubic utility. J. Bus. 43(2):181–189.Crossref, Google Scholar
• Knight FH (1921) Risk, Uncertainty and Profits (Houghton Mifflin, Boston).Google Scholar
• Kouvelis P, Yu G (1997) Robust Discrete Optimization and Its Applications (Kluwer Academic Publishers, Boston).Crossref, Google Scholar
• Leshno M, Levy H (2002) Preferred by all and preferred by most decision makers: Almost stochastic dominance. Management Sci. 48(8):1074–1085.Link, Google Scholar
• Levy H (1992) Stochastic dominance and expected utility: Survey and analysis. Management Sci. 38(4):555–593.Link, Google Scholar
• Levy H (2015) Stochastic Dominance: Investment Decision Making Under Uncertainty (Springer, New York).Google Scholar
• Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415–1430.Link, Google Scholar
• Levy H, Markowitz H (1979) Approximating expected utility by a function of mean and variance. Amer. Econom. Rev. 69(3):308–317.Google Scholar
• Levy H, Leshno M, Leibovitch B (2010) Economically relevant preferences for all observed epsilon. Ann. Oper. Res. 176(1):153–178.Crossref, Google Scholar
• Markowitz H (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
• Markowitz H (2014) Mean-variance approximations to expected utility. Eur. J. Oper. Res. 234(2):346–355.Crossref, Google Scholar
• Müller A, Scarsini M, Tsetlin I, Winkler RL (2016) Between first- and second-order stochastic dominance. Management Sci., ePub ahead of print July 14, http://dx.doi.org/10.1287/mnsc.2016.2486.Link, Google Scholar
• Savage LJ (1972) The Foundation of Statistics (Dover Publications, New York).Google Scholar
• Shaked M, Shanthikumar JG (2007) Stochastic Orders (Springer Science and Business Media, New York).Crossref, Google Scholar
• Tan CH (2015) Weighted almost stochastic dominance: Revealing the preferences of most decision makers in the St. Petersburg paradox. Decision Anal. 12(2):74–80.Link, Google Scholar
• Tsetlin I, Winkler RL, Huang RJ, Tzeng LY (2015) Generalized almost stochastic dominance. Oper. Res. 62(2):363–377.Link, Google Scholar
• Tzeng LY, Huang RJ, Shih PT (2013) Revisiting almost second-degree stochastic dominance. Management Sci. 59(5):1250–1254.Link, Google Scholar
• Wallace SW (2000) Decision making under uncertainty: Is sensitivity analysis of any use? Oper. Res. 48(1):20–25.Link, Google Scholar