Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment

Preprint OPEN
Wing-Keung Wong;
(2007)
  • Subject: Applied probability, Decision analysis, Risk analysis, Risk management, Uncertainty modelling

In this paper, we first extend the stochastic dominance (SD) theory by introducing the first three orders of both ascending SD (ASD) and descending SD (DSD) to decisions in business planning and investment to risk-averse and risk- loving decision makers so that they can... View more
  • References (14)
    14 references, page 1 of 2

    Anderson, G., 2004. Toward an empirical analysis of polarization. Journal of Econometrics 122, 1-26.

    Ash, R.B., 1972. Real analysis and probability. New York, Academic Press.

    Bawa, V.S., 1978. Safety-first, stochastic dominance, and optimal portfolio choice. Journal of Financial and Quantitative Analysis 13, 255-271.

    Broll, U., Wahl, J.E., Wong, W.K., 2006. Elasticity of risk aversion and international trade. Economics Letters 91(1), 126-130.

    Dillinger, A.M., Stein, W.E., Mizzi, P.J., 1992. Risk averse decisions in business planning, Decision Sciences 23, 1003-1008.

    Fennema, H., van Assen, M.A.L.M., 1998. Measuring the utility of losses by means of the tradeoff method. Journal of Risk and Uncertainty 17, 277-295.

    Fong, W.M., Lean, H.H., Wong, W.K., 2005. Stochastic dominance and the rationality of the momentum effect across markets. Journal of Financial Markets 8, 89-109.

    Gasbarro, D., Wong, W.K. and Zumwalt, J.K., 2006. Stochastic Dominance Analysis of iShares, European Journal of Finance (forthcoming).

    Gotoh, J.Y., Konno, H., 2000. Third degree stochastic dominance and mean-risk analysis. Management Science 46(2), 289-301.

    Greco, S., Matarazzo, B., Slowinski, R., 1999. Rough approximation of a preference relation by dominance relations. European Journal of Operational Research, 117, 63- 83.

  • Metrics
Share - Bookmark