Almost Stochastic Dominance for Most Risk-Averse Decision Makers

References

• Abdellaoui M (2000) Parameter-free elicitation of utility and probability weighting functions. Management Sci. 46(11):1497–1512.Link, Google Scholar
• Arrow KJ (1965) Aspects of the Theory of Risk-Bearing (Yrjö Jahnssonin Säätiö, Helsinki).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
• Birnbaum MH (2005) A comparison of five models that predict violations of first-order stochastic dominance in risky decision making. J. Risk Uncertainty 31(3):263–287.Crossref, Google Scholar
• Brenner S (2014) The risk preferences of US executives. Management Sci. 61(6):1344–1361.Link, Google Scholar
• Charness G, Karni E, Levin D (2007) Individual and group decision making under risk: An experimental study of Bayesian updating and violations of first-order stochastic dominance. J. Risk Uncertainty 35(2):129–148.Crossref, Google Scholar
• Chen P, Ye Z-S, Zhao X (2017) Minimum distance estimation for the generalized pareto distribution. Technometrics 59(4):528–541.Crossref, Google Scholar
• Chiang M-H, Chiu H-Y, Huang RJ (2017) Momentum strategies: An almost stochastic dominance approach. Working paper, NCCU College of Commerce, Taiwan.Google Scholar
• Chiu C-H, Choi T-M (2016) Supply chain risk analysis with mean-variance models: A technical review. Ann. Oper. Res. 240(2):489–507.Crossref, Google Scholar
• Farquhar PH (1984) State of the art–utility assessment methods. Management Sci. 30(11):1283–1300.Link, Google Scholar
• Fu H, Hsu Y-C, Huang RJ, Tzeng LY (2015) To hedge or not to hedge? Evidence via almost stochastic dominance. Working paper, Imperial College London, London.Google Scholar
• Guo Z, Baruah SK (2016) A neurodynamic approach for real-time scheduling via maximizing piecewise linear utility. IEEE Trans. Neural Network Learn. Systems 27(2):238–248.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
• Howard RA (1988) Decision analysis: Practice and promise. Management Sci. 34(6):679–695.Link, Google Scholar
• Hsu Y-C, Huang RJ, Tzeng LY, Wang CW (2015) Efficient diversification under generalized almost stochastic dominance. Working paper, Academia Sinica, Taipei, Taiwan.Google Scholar
• Huang RJ, Tzeng LY, Zhao L (2017) Between Nth- and (N + 1)th-degree stochastic dominance. Working paper, National Central University, Taoyuan City, Taiwan.Google Scholar
• King RP, Robison LJ (1981) An interval approach to measuring decision maker preferences. Amer. J. Agricultural Econom. 63(3):510–520.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 (1994) Absolute and relative risk aversion: An experimental study. J. Risk Uncertainty 8(3):289–307.Crossref, Google Scholar
• Levy H (2015) Stochastic Dominance: Investment Decision Making under Uncertainty (Springer, Cham, Switzerland).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
• Levy M (2009) Almost stochastic dominance and stocks for the long run. Eur. J. Oper. Res. 194(1):250–257.Crossref, Google Scholar
• Liu L, Meyer J (2013) Substituting one risk increase for another: A method for measuring risk aversion. J. Econom. Theory 148(6):2706–2718.Crossref, Google Scholar
• Love RO, Robison LJ (1983) An empirical analysis of the intertemporal stability of risk preference. J. Agricultural Appl. Econom. 16(1):159–166.Crossref, Google Scholar
• Markowitz H (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
• Martínez-de Albéniz V, Simchi-Levi D (2006) Mean-variance trade-offs in supply contracts. Naval Res. Logist. 53(7):603–616.Crossref, Google Scholar
• McCarl BA, Bessler DA (1989) Estimating an upper bound on the Pratt risk aversion coefficient when the utility function is unknown. Australian J. Agricultural Resource Econom. 33(1):56–63.Crossref, Google Scholar
• Meyer J (1977a) Choice among distributions. J. Econom. Theory 14(2):326–336.Crossref, Google Scholar
• Meyer J (1977b) Second degree stochastic dominance with respect to a function. Internat. Econom. Rev. 18(2):477–487.Crossref, Google Scholar
• Morgenstern O, Von Neumann J (1953) Theory of Games and Economic Behavior (Princeton University Press, Princeton, NJ).Google Scholar
• Murthy I, Sarkar S (1998) Stochastic shortest path problems with piecewise-linear concave utility functions. Management Sci. 44(11, part 2):S125–S136.Google Scholar
• Pratt JW (1992) Risk aversion in the small and in the large. Dionne G, Harrington SE, eds. Foundations of Insurance Economics (Springer, Amsterdam), 83–98.Crossref, Google Scholar
• Raskin R, Cochran MJ (1986) Interpretations and transformations of scale for the Pratt-Arrow absolute risk aversion coefficient: Implications for generalized stochastic dominance. Western J. Agricultural Econom. 11(1836-2016-150909):204–210.Google Scholar
• Rieger MO, Wang M, Hens T (2014) Risk preferences around the world. Management Sci. 61(3):637–648.Link, Google Scholar
• Sobel MJ (1994) Mean-variance tradeoffs in an undiscounted MDP. Oper. Res. 42(1):175–183.Link, Google Scholar
• Tan CH, Luo C (2017) Clear preferences under partial distribution information. Decision Anal. 14(1):65–73.Link, Google Scholar
• Tsetlin I, Winkler RL, Huang RJ, Tzeng LY (2015) Generalized almost stochastic dominance. Oper. Res. 63(2):363–377.Link, Google Scholar
• Tzeng LY, Huang RJ, Shih P-T (2013) Revisiting almost second-degree stochastic dominance. Management Sci. 59(5):1250–1254.Link, Google Scholar
• Vazirani VV, Yannakakis M (2011) Market equilibrium under separable, piecewise-linear, concave utilities. J. ACM 58(3):10:1–10:25.Crossref, Google Scholar
• Wakker P, Deneffe D (1996) Eliciting von Neumann-Morgenstern utilities when probabilities are distorted or unknown. Management Sci. 42(8):1131–1150.Link, Google Scholar
• Wu J, Li J, Wang S, Cheng T (2009) Mean-variance analysis of the newsvendor model with stockout cost. Omega 37(3):724–730.Crossref, Google Scholar