Portfolio Choice Based on Third-Degree Stochastic Dominance

Published Online:https://doi.org/10.1287/mnsc.2016.2506

References

  • Armbruster B, Delage E (2015) Decision making under uncertainty when preference information is incomplete. Management Sci. 61(1):111–128.LinkGoogle Scholar
  • Avis D, Fukuda K (1992) A pivoting algorithm for convex hulls and vertex enumeration of arrangements and polyhedra. Discrete Comput. Geometry 8(3):295–313.CrossrefGoogle Scholar
  • Basso A, Pianca P (1997) Decreasing absolute risk aversion and option pricing. Management Sci. 43(2):206–216.LinkGoogle Scholar
  • Bawa VS (1975) Optimal rules for ordering uncertain prospects. J. Financial Econom. 2(1):95–121.CrossrefGoogle Scholar
  • Bawa VS, Lindenberg EB, Rafsky LC (1979) An algorithm to determine stochastic dominance admissible sets. Management Sci. 25(7):609–622.LinkGoogle Scholar
  • Bawa VS, Bodurtha Jr JN, Rao MR, Suri HL (1985) On determination of stochastic dominance optimal sets. J. Finance 40(2):417–431.CrossrefGoogle Scholar
  • Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.CrossrefGoogle Scholar
  • Clark E, Jokung O, Kassimatis K (2011) Making inefficient market indices efficient. Eur. J. Oper. Res. 209(1):83–93.CrossrefGoogle Scholar
  • Fama EF, French KR (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.CrossrefGoogle Scholar
  • Fishburn PC (1974) Convex stochastic dominance with continuous distribution functions. J. Econom. Theory 7(2):143–158.CrossrefGoogle Scholar
  • Fishburn PC (1977) Mean-risk analysis with risk associated with below-target returns. Amer. Econom. Rev. 67(2):116–126.Google Scholar
  • Gotoh JY, Konno H (2000) Third-degree stochastic dominance and mean-risk analysis. Management Sci. 46(2):289–301.LinkGoogle Scholar
  • Hadar J, Russell WR (1969) Rules for ordering uncertain prospects. Amer. Econom. Rev. 59(1):2–34.Google Scholar
  • Hanoch G, Levy H (1969) The efficiency analysis of choices involving risk. Rev. Econom. Stud. 36(3):335–346.CrossrefGoogle Scholar
  • Hodder E, Jackwerth JC, Kolokolova O (2015) Improved portfolio choice using second-order stochastic dominance. Rev. Finance 19(4):1623–1647.CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.CrossrefGoogle Scholar
  • Kopa M, Post T (2009) A portfolio optimality test based on the first-order stochastic dominance criterion. J. Financial Quant. Anal. 44(5):1103–1124.CrossrefGoogle Scholar
  • Kopa M, Post T (2015) A general test for SSD portfolio efficiency. OR Spectrum 37(3):703–734.CrossrefGoogle Scholar
  • Kuosmanen T (2004) Efficient diversification according to stochastic dominance criteria. Management Sci. 50(10):1390–1406.LinkGoogle Scholar
  • Leshno M, Levy H (2002) Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Management Sci. 48(8):1074–1085.LinkGoogle Scholar
  • Longarela IR (2016) A characterization of the SSD-efficient frontier of portfolio weights by means of a set of mixed-integer linear constraints. Management Sci. 62(12):3549–3554.LinkGoogle Scholar
  • Menezes C, Geiss C, Tressler J (1980) Increasing downside risk. Amer. Econom. Rev. 70(5):921–932.Google Scholar
  • Meyer D, Meyer J (2005) Relative risk aversion: What do we know? J. Risk Uncertainty 31(3):243–262.CrossrefGoogle Scholar
  • Moskowitz TJ, Grinblatt M (1999) Do industries explain momentum? J. Finance 54(4):1249–90.CrossrefGoogle Scholar
  • Porter RB, Wart JR, Ferguson DL (1973) Efficient algorithms for conducting stochastic dominance tests on large numbers of portfolios. J. Financial Quant. Anal. 8(1):71–81.CrossrefGoogle Scholar
  • Post T (2003) Empirical tests for stochastic dominance efficiency. J. Finance 58(5):1905–1932.CrossrefGoogle Scholar
  • Post T, Kopa M (2013) General linear formulations of stochastic dominance criteria. Eur. J. Oper. Res. 230(2):321–332.CrossrefGoogle Scholar
  • Post T, Versijp P (2007) Multivariate tests for stochastic dominance efficiency of a given portfolio. J. Financial Quant. Anal. 42(2):489–515.CrossrefGoogle Scholar
  • Post T, Fang Y, Kopa M (2015) Linear tests for DARA stochastic dominance. Management Sci. 61(7):1615–1629.LinkGoogle Scholar
  • Quirk JP, Saposnik R (1962) Admissibility and measurable utility functions. Rev. Econom. Stud. 29(2):140–146.CrossrefGoogle Scholar
  • Roman D, Darby-Dowman K, Mitra G (2006) Portfolio construction based on stochastic dominance and target return distributions. Math. Programming 108(2):541–569.CrossrefGoogle Scholar
  • Roman D, Mitra G, Zverovich V (2013) Enhanced indexation based on second-order stochastic dominance. Eur. J. Oper. Res. 228(1):273–281.CrossrefGoogle Scholar
  • Rothschild M, Stiglitz JE (1970) Increasing risk: I. A definition. J. Econom. Theory 2(3):225–243.CrossrefGoogle Scholar
  • Scaillet O (2004) Nonparametric estimation and sensitivity analysis of expected shortfall. Math. Finance 14(1):115–129.CrossrefGoogle Scholar
  • Scaillet O, Topaloglou N (2010) Testing for stochastic dominance efficiency. J. Bus. Econom. Statist. 28(1):169–180.CrossrefGoogle Scholar
  • Shalit H, Yitzhaki S (1994) Marginal conditional stochastic dominance. Management Sci. 40(5):670–684.LinkGoogle Scholar
  • Vickson RG (1975) Stochastic dominance tests for decreasing absolute risk aversion. I. Discrete random variables. Management Sci. 21(12):1438–1446.LinkGoogle Scholar
  • Vickson RG (1977) Stochastic dominance tests for decreasing absolute risk aversion. II. General random variables. Management Sci. 23(5):478–489.LinkGoogle Scholar
  • Whitmore GA (1970) Third-degree stochastic dominance. Amer. Econom. Rev. 60(3):457–459.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.