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Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data
11 references·0 citing·36 second hop
Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data (1994)Efficient Algorithms for Stochastic Domin…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Stochastic dominance and Friedman-Savage utility functions (1988)Stochastic dominance and Frie…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…On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions (1977)On the Relative Effectiveness…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…Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply (1975)Efficient Algorithms for Cond…Relative Effectiveness of Efficiency Criteria for Portfolio Selection (1970)Relative Effectiveness of Eff…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Risk Aversion in the Small and in the Large (1976)Theory of Financial Decision Making. (1988)Increasing Downside Risk (2016)The Utility Analysis of Choices Involving Risk (1948)Liquidity Preference as Behavior Towards Risk (1958)ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIRICAL ANALYSIS (1970)Theory of games and economic behavior (2019)Admissibility and Measurable Utility Functions (1962)Efficiency Analysis and Option Portfolio Selection (1985)Almost Stochastic Dominance and stocks for the long run (2007)Day-of-the-week effect in the Taiwan foreign exchange market (2007)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)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis (2007)Higher-degree stochastic dominance optimality and efficiency (2017)Types of director, board diversity and firm performance (2020)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Aspects of the Theory of Risk-Bearing. (1966)Anwendungsvoraussetzungen der Entscheidungslogik unter Ungewißheit (1990)Portfolio analysis with a large universe of assets (1996)Interaktywne wielokryterialne wspomaganie decyzji w warunkach ryzyka : metody i zastosowania (2008)Portfolio Selection: Efficient Diversification of Investments (1959)On Economic Inequality (1973)Chapter 2 Measurement of inequality (2000)Prospect theory: An analysis of decision under risk (1988)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Optimal algorithms and lower partial moment: ex post results (1991)The characteristics of portfolios selected by n-degree Lower Partial Moment (1992)
this work references cited by second hop

References

  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1970Relative Effectiveness of Efficiency Criteria for Portfolio Selection105 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
  • 1979An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets55 cited
  • 1977On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions28 cited
  • 1988Stochastic dominance and Friedman-Savage utility functions10 cited

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