SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Relationship between Arbitrage and First Order Stochastic Dominance
10 references·16 citing·41 second hop
The Relationship between Arbitrage and First Order Stochastic Dominance (1986)The Relationship between Arbitrage and Fi…Spanning and completeness in markets with contingent claims (1987)Spanning and completeness in …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…Options and Efficiency (1976)Options and EfficiencyStochastic dominance and diversification (1971)Stochastic dominance and dive…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Problems in the Theory of Optimal Capital Structure (1966)Problems in the Theory of Opt…Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices (2020)Gold and portfolio diversific…Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency (2017)Stochastic dominance via quan…Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly (2017)Stochastic Dominance and Omeg…THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS (2015)THEORIES OF RISK: TESTING INV…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…Could the global financial crisis improve the performance of the G7 stocks markets? (2015)Could the global financial cr…Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China (2014)Stochastic dominance statisti…Revisiting fast profit investor sentiment and stock returns during Ramadan (2014)Revisiting fast profit invest…International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches (2014)International Diversification…Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets (2012)Investors’ preference towards…Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach (2011)Empirical test of the efficie…Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003)Portfolio Choice Theory with …Portfolio selection with stable distributed returns (2002)Portfolio selection with stab…Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach (1997)Does Post-Earnings-Announceme…Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach (1993)Can Omitted Risk Factors Expl…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Liquidity Preference as Behavior Towards Risk (1958)Aspects of the Theory of Risk-Bearing. (1966)Optimal rules for ordering uncertain prospects (1975)Mutual fund separation in financial theory—The separating distributions (1978)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets and Martingales (1989)Gain, Loss, and Asset Pricing (2000)Jump risk, stock returns, and slope of implied volatility smile (2010)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Share of Systematic Variation in Bilateral Exchange Rates (2017)Financial sustainability: measurement and empirical evidence (2022)Presidential Address: Corporate Finance and Reality (2022)Portfolio Selection (1952)Efficiency of crude oil markets: Evidences from informational entropy analysis (2011)The relationship between spot and futures oil prices: Do structural breaks matter? (2014)Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality (2019)Asset Pricing in Economies with Frictions (1996)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)
this work references cited by second hop

References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1976Options and Efficiency830 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1966Problems in the Theory of Optimal Capital Structure256 cited
  • 1971Stochastic dominance and diversification242 cited
  • 1987Spanning and completeness in markets with contingent claims118 cited

Cited by

  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 1993Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach89 cited
  • 2014Revisiting fast profit investor sentiment and stock returns during Ramadan83 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2014Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

68 cited
  • 2011Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach63 cited
  • 2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices54 cited
  • 2014International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches50 cited
  • 2015THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS49 cited
  • 2017Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly45 cited
  • 2003Portfolio Choice Theory with Non-Gaussian Distributed Returns43 cited
  • 2012Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets42 cited
  • 2002Portfolio selection with stable distributed returns37 cited
  • 2015Could the global financial crisis improve the performance of the G7 stocks markets?35 cited
  • 1997Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach35 cited
  • 2017Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency32 cited