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Multi-fractional Stochastic Dominance: Mathematical Foundations
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Multi-fractional Stochastic Dominance: Mathematical Foundations (2023)Multi-fractional Stochastic Dominance: Ma…Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory (2022)Fractional stochastic dominan…Distorted stochastic dominance: A generalized family of stochastic orders (2020)Distorted stochastic dominanc…Characterizations of risk aversion in cumulative prospect theory (2018)Characterizations of risk ave…Between First- and Second-Order Stochastic Dominance (2016)Between First- and Second-Ord…Stochastic Dominance (2015)Stochastic DominanceHow rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model (2004)More pessimism than greedines…A Universal Performance Measure (2003)A Universal Performance Measu…Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance (2002)Preferred by “All” and Prefer…Continua of stochastic dominance relations for unbounded probability distributions (1980)Continua of stochastic domina…Second Degree Stochastic Dominance with Respect to a Function (1977)Second Degree Stochastic Domi…Stochastic Dominance and the Maximization of Expected Utility (1976)Stochastic Dominance and the …The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…The Utility of Wealth (1952)The Utility of WealthThe Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Risk Aversion in the Small and in the Large (1976)Relative Deprivation and the Gini Coefficient: Comment (1980)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Should More Risk-Averse Agents Exert More Effort? (1999)Integration questions related to fractional Brownian motion (2000)Theory and applications of long-range dependence (2003)Cross-correlation of long-range correlated series (2009)Integral representations and properties of operator fractional Brownian motions (2011)MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)Stochastic dominance and diversification (1971)The Comparison of Multi-Dimensioned Distributions of Economic Status (1982)Stochastic dominance and mean–variance measures of profit and loss for business planning and investment (2006)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)Stochastic Dominance Analysis of iShares (2006)Stochastic dominance analysis of Asian hedge funds (2007)Revisiting Almost Second-Degree Stochastic Dominance (2012)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)Portfolio optimization with return prediction using deep learning and machine learning (2020)Individual optimal pension allocation under stochastic dominance constraints (2016)On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles (2018)Review on Efficiency and Anomalies in Stock Markets (2020)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)
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References

  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1952The Utility of Wealth1,845 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 2003A Universal Performance Measure372 cited
  • 2002Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance348 cited
  • 1977Second Degree Stochastic Dominance with Respect to a Function159 cited
  • 2015Stochastic Dominance126 cited
  • 1976Stochastic Dominance and the Maximization of Expected Utility107 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited
  • 2004More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model88 cited
  • 2016Between First- and Second-Order Stochastic Dominance75 cited
  • 1980Continua of stochastic dominance relations for unbounded probability distributions57 cited
  • 2020Distorted stochastic dominance: A generalized family of stochastic orders13 cited
  • 2022Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory6 cited

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  • 2018Characterizations of risk aversion in cumulative prospect theory4 cited
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