Download or read book A Note on the Comparison of Stochastic Dominance and Mean variance Portfolio Choice Criteria written by Stylianos Perrakis and published by Faculty of Management Sciences, University of Ottawa. This book was released on 1975 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Download or read book A Comprehensive Empirical Comparison of Stochastic Dominance and Mean variance Portfolio Models written by R. Burr Porter and published by . This book was released on 1971 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Orders and Applications written by Karl Mosler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.

Download or read book Portfolio Choice Based on Third Degree Stochastic Dominance written by Thierry Post and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an optimization method for constructing investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semivariance function, a refinement of an existing 'super-convex' dominance condition and quadratic constrained programming. We apply our method to historical stock market data using an industry momentum strategy. Our enhanced portfolio generates important performance improvements compared with alternatives based on mean-variance dominance and second-degree stochastic dominance. Relative to the CSRP all-share index, our portfolio increases average out-of-sample return by almost seven percentage points per annum without incurring more downside risk, using quarterly rebalancing and without short selling.

Download or read book Stochastic Dominance Vs Mean variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1970 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1972 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Journal of Finance written by and published by . This book was released on 1980 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publishes across all the major fields of financial research. The most widely cited academic journal on finance and one of the most widely cited journals in economics as well.

Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by . This book was released on 1987 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the popular undergraduate text examines the characteristics and analysis of individual securities along with the theory and practice of combining securities into portfolios. Changes in this edition include a new chapter on valuation, financial futures and substantial updating reflecting recent changes in theory. Details the theory of modern portfolio analysis and discusses the differences between portfolios and the individual securities from which they are formed. Describes the equilibrium in capital markets, and reviews the characteristics and evaluation of individual securities, including their market efficiency, the valuation of common stocks, valuation of bonds, nature and valuation of options, and the valuation and uses of futures. Concludes with a discussion of the evaluation of the investment analysis and portfolio management process, stressing techniques for evaluating every stage of the investment process.

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reprint Series written by and published by . This book was released on 1983 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comparing Mean Variance Tests with Stochastic Dominance Tests when Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book JOURNAL OF BANKING FINANCE VOLUME 1 written by and published by . This book was released on 1977 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book General Linear Formulations of Stochastic Dominance Criteria written by Thierry Post and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean-variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial violations of non-satiation and prudence.

Download or read book Portfolio and Investment Selection written by Haim Levy and published by Prentice Hall. This book was released on 1984 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Management Science written by and published by . This book was released on 2004 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.