Open AccessPosted Content
Rules for Ordering Uncertain Prospects
Josef Hadar,William R Russell +1 more
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This article is published in The American Economic Review.The article was published on 1969-01-01 and is currently open access. It has received 1748 citations till now.read more
Citations
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Novel approaches for portfolio construction using second order stochastic dominance
TL;DR: This paper describes a novel concept of reshaping the benchmark distribution with a view to obtaining portfolio solutions which have enhanced return distributions and presents computational results which illustrate how this approach leads to superior portfolio performance.
Journal ArticleDOI
Some Results on Bond Yield and Default Probability
TL;DR: In this article, the authors used the difference between a corporate bond's promised yield-tomaturity (YTM) and the YTM of a government bond of the same maturity is composed of the sum of the corporate default risk, the variability of a firm's earnings, the firm's reliability in meeting its obligations, its capital structure, and the bond's marketability.
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Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach
TL;DR: In contrast to the extensive evidence of day-of-the-week effects disclosed by a parametric mean-variance (MV) approach, the authors adopts a non-parametric stochastic dominance (SD) approach to examine the day of the week effects in Chinese stock markets.
Posted Content
A Model-Free Definition of Increasing Uncertainty
Simon Grant,John Quiggin +1 more
TL;DR: A definition of increasing uncertainty, independent of any notion of subjective probabilities, or of any particular model of preferences, is presented for a popular class of generalized models of choice under uncertainty.
References
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Book
Theory of Games and Economic Behavior
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
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Admissibility and Measurable Utility Functions
James P. Quirk,Rubin Saposnik +1 more
Book ChapterDOI
Ordered Families of Distributions
TL;DR: In this article, a comparison is made of several definitions of ordered sets of distributions, some of which were introduced earlier by the author [7], [8] and by Rubin [10], and the results are applied to obtaining tests that give a certain guaranteed power with a minimum number of observations.
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Dynamic Inventory Policy with Varying Stochastic Demands
TL;DR: In this article, a dynamic inventory model is formulated in which the demand distributions may change from period to period, and the optimal policy at each stage is characterized by a single critical number which also could vary in successive periods.