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The Harmonic Mean and Other Necessary Conditions for Stochastic Dominance
16 references·1 citing·32 second hop
The Harmonic Mean and Other Necessary Conditions for Stochastic Dominance (1984)The Harmonic Mean and Other Necessary Con…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…The Geometric Mean and Stochastic Dominance (1980)The Geometric Mean and Stocha…Sampling Errors and Portfolio Efficient Analysis (1980)Sampling Errors and Portfolio…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance (1980)Empirical Studies in Portfoli…Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness (1979)Efficiency Analysis with Borr…An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets (1979)An Efficient Algorithm to Det…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply (1975)Efficient Algorithms for Cond…Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios (1973)Efficient Algorithms for Cond…Stochastic 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 …Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Ranking Distributions with Generalized Lorenz Curves (1989)Ranking Distributions with Ge…Risk Aversion in the Small and in the Large (1976)Theory of Financial Decision Making. (1988)Increasing Downside Risk (2016)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)Financial Development, Growth, and the Distribution of Income (1989)Financial Development, Growth, and the Distribution of Income (1990)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Skewness in Asset Pricing Tests (2000)Asymmetric correlations of equity portfolios (2002)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Introductory Econometrics for Finance (2008)The Utility Analysis of Choices Involving Risk (1948)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Portfolio Selection: Efficient Diversification of Investments (1959)Chapter 2 Measurement of inequality (2000)On the measurement of inequality (1970)Collective Choice and Social Welfare (1972)Stochastic Dominance (1973)Poverty: An Ordinal Approach to Measurement (1976)Statistical Methods for Distributional Analysis (2014)Lectures on Stochastic Programming (2009)Lectures on Stochastic Programming: Modeling and Theory (2009)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)
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References

  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1971Stochastic dominance and diversification242 cited
  • 1975Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply79 cited
  • 1979Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness78 cited
  • 1980The Geometric Mean and Stochastic Dominance70 cited
  • 1980Sampling Errors and Portfolio Efficient Analysis64 cited
  • 1973Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios61 cited
  • 1979An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets55 cited

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  • 1980Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance42 cited
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    • 1989Ranking Distributions with Generalized Lorenz Curves102 cited