Operational asymptotic stochastic dominance

被引：3

作者：

Huang, Rachel J. ^{[1
]}

Tzeng, Larry ^{[2
]}

Wang, Jr-Yan ^{[3
]}

Zhao, Lin ^{[4
]}

机构：

[1] Natl Cent Univ, Dept Finance, Taoyuan, Taiwan

[2] Natl Taiwan Univ, Dept Finance, Taipei, Taiwan

[3] Natl Taiwan Univ, Dept Int Business, Taipei, Taiwan

[4] Chinese Acad Math & Syst Sci, Beijing, Peoples R China

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2020年 / 280卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Utility theory; Asymptotic stochastic dominance; Operational asymptotic stochastic dominance; Almost stochastic dominance; Long-run investment; LOSS AVERSION; STOCKS;

D O I：

10.1016/j.ejor.2019.06.052

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Levy (2016) proposes asymptotic first-degree stochastic dominance as a distribution ranking criterion for all non-satiable decision makers with infinite investment horizons. Given Levy's setting, this paper defines and offers the equivalent distributional conditions for asymptotic second-degree stochastic dominance, as well as operational asymptotic first- and second-degree stochastic dominance. Interestingly, the operational asymptotic stochastic dominance provides a full rank over assets with lognormal returns and different means. Empirical applications show that our conditions can be readily implemented in practice. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：312 / 322

页数：11

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