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A Critical Comparison of Three Notions of Fractional Stochastic Dominance
16 references·1 citing·35 second hop
A Critical Comparison of Three Notions of Fractional Stochastic Dominance (2020)A Critical Comparison of Three Notions of…The Efficiency Analysis of Choices Involving Risk (2013)The Efficiency Analysis of Ch…Risk aversion and expected-utility theory: A calibration theorem (2013)Risk aversion and expected-ut…Risk Aversion in Cumulative Prospect Theory (2008)Risk Aversion in Cumulative P…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…An Experimental Test of Loss Aversion (2002)An Experimental Test of Loss …Anomalies: Risk Aversion (2001)Anomalies: Risk AversionRisk Aversion and Expected-utility Theory: A Calibration Theorem (2000)Risk Aversion and Expected-ut…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Standard Risk Aversion (1991)Standard Risk AversionThe Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…A theory of anticipated utility (1982)A theory of anticipated utili…Second Degree Stochastic Dominance with Respect to a Function (1977)Second Degree Stochastic Domi…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Sufficient Conditions for Multivariate Almost Stochastic Dominance under Dependence Uncertainty (2021)Sufficient Conditions for Mul…Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Time Discounting and Time Preference: A Critical Review (2002)Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing (2006)Estimating Risk Preferences from Deductible Choice (2007)The Endowment Effect, Loss Aversion, and Status Quo Bias (2016)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Theory of games and economic behavior (2019)Coherent Measures of Risk (1999)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Subjective probability and expected utility without additivity (2004)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Risk Aversion and Incentive Effects (2002)Cognitive Reflection and Decision Making (2005)Psychology and Economics: Evidence from the Field (2009)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)The Role of Social Capital in Financial Development (2004)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)The arbitrage theory of capital asset pricing (1976)
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References

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1982A theory of anticipated utility3,136 cited
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  • 2002Convex measures of risk and trading constraints1,452 cited
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  • 2013The Efficiency Analysis of Choices Involving Risk205 cited
  • 1977Second Degree Stochastic Dominance with Respect to a Function159 cited
  • 2008Risk Aversion in Cumulative Prospect Theory151 cited

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  • 2021Sufficient Conditions for Multivariate Almost Stochastic Dominance under Dependence Uncertainty0 cited