https://scholars.lib.ntu.edu.tw/handle/123456789/414419
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Tsetlin I. | en_US |
dc.contributor.author | Winkler R.L. | en_US |
dc.contributor.author | Huang R.J. | en_US |
dc.contributor.author | Tzeng L.Y. | en_US |
dc.creator | Tzeng L.Y.;Huang R.J.;Winkler R.L.;Tsetlin I. | - |
dc.date.accessioned | 2019-07-22T07:00:32Z | - |
dc.date.available | 2019-07-22T07:00:32Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 0030364X | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414419 | - |
dc.description.abstract | Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. While the idea behind almost stochastic dominance is quite promising, it has not caught on in practice. Implementation issues and inconsistencies between integral conditions and their associated utility classes contribute to this situation. We develop generalized almost second-degree stochastic dominance and almost second-degree risk in terms of the appropriate utility classes and their corresponding integral conditions, and extend these concepts to higher degrees. We address implementation issues and show that generalized almost stochastic dominance inherits the appealing properties of stochastic dominance. Finally, we define convex generalized almost stochastic dominance to deal with risk-prone preferences. Generalized almost stochastic dominance could be useful in decision analysis, empirical research (e.g., in finance), and theoretical analyses of applied situations. ? 2015 INFORMS. | - |
dc.language | English | - |
dc.relation.ispartof | Operations Research | - |
dc.subject | Decision analysis | - |
dc.subject | Distribution comparisons. Area of review: Decision Analysis | - |
dc.subject | Probability | - |
dc.subject | Risk | - |
dc.subject | Stochastic dominance | - |
dc.subject | Utility | - |
dc.title | Generalized almost stochastic dominance | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1287/opre.2014.1340 | - |
dc.identifier.scopus | 2-s2.0-84927523763 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927523763&doi=10.1287%2fopre.2014.1340&partnerID=40&md5=c99e4dd6ad20e58650fb8fcbfff5a2df | - |
dc.relation.pages | 363-377 | - |
dc.relation.journalvolume | 63 | - |
dc.relation.journalissue | 2 | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Center for Research in Econometric Theory and Applications (CRETA) | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。