Consistent Testing for Stochastic Dominance

Consistent Testing for Stochastic Dominance PDF Author: Yoon-Jae Whang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description

Consistent Testing for Stochastic Dominance

Consistent Testing for Stochastic Dominance PDF Author: Yoon-Jae Whang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description


Studies in the Economics of Uncertainty

Studies in the Economics of Uncertainty PDF Author: Thomas B. Fomby
Publisher: Springer Science & Business Media
ISBN: 1461389224
Category : Business & Economics
Languages : en
Pages : 233

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Book Description
Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.

Consistent Testing for Stochastic Dominance

Consistent Testing for Stochastic Dominance PDF Author: Oliver B. Linton
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 46

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Book Description


Consistent Testing for Stochastic Dominance

Consistent Testing for Stochastic Dominance PDF Author: Oliver B. Linton
Publisher:
ISBN:
Category :
Languages : en
Pages : 50

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Book Description
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.

Econometric Analysis of Stochastic Dominance

Econometric Analysis of Stochastic Dominance PDF Author: Yoon-Jae Whang
Publisher: Cambridge University Press
ISBN: 1108690475
Category : Business & Economics
Languages : en
Pages : 279

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Book Description
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.

Stochastic dominance in portfolio analysis and asset pricing

Stochastic dominance in portfolio analysis and asset pricing PDF Author: Andrey M. Lizyayev
Publisher: Rozenberg Publishers
ISBN: 9036101875
Category :
Languages : en
Pages : 136

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Book Description


Decision Science and Technology

Decision Science and Technology PDF Author: James Shanteau
Publisher: Springer Science & Business Media
ISBN: 1461550890
Category : Business & Economics
Languages : en
Pages : 425

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Book Description
Decision Science and Technology is a compilation of chapters written in honor of a remarkable man, Ward Edwards. Among Ward's many contributions are two significant accomplishments, either of which would have been enough for a very distinguished career. First, Ward is the founder of behavioral decision theory. This interdisciplinary discipline addresses the question of how people actually confront decisions, as opposed to the question of how they should make decisions. Second, Ward laid the groundwork for sound normative systems by noticing which tasks humans can do well and which tasks computers should perform. This volume, organized into five parts, reflects those accomplishments and more. The book is divided into four sections: `Behavioral Decision Theory' examines theoretical descriptions and empirical findings about human decision making. `Decision Analysis' examines topics in decision analysis.`Decision in Society' explores issues in societal decision making. The final section, `Historical Notes', provides some historical perspectives on the development of the decision theory. Within these sections, major, multi-disciplinary scholars in decision theory have written chapters exploring some very bold themes in the field, as an examination of the book's contents will show. The main reason for the health of the Decision Analysis field is its close links between theory and applications that have characterized it over the years. In this volume, the chapters by Barron and Barrett; Fishburn; Fryback; Keeney; Moreno, Pericchi, and Kadane; Howard; Phillips; Slovic and Gregory; Winkler; and, above all, von Winterfeldt focus on those links. Decision science originally developed out of concern with real decision problems; and applied work, such as is represented in this volume, will help the field to remain strong.

Distribution Theory for Tests Based on Sample Distribution Function

Distribution Theory for Tests Based on Sample Distribution Function PDF Author: J. Durbin
Publisher: SIAM
ISBN: 0898710073
Category : Mathematics
Languages : en
Pages : 73

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Book Description
Presents a coherent body of theory for the derivation of the sampling distributions of a wide range of test statistics. Emphasis is on the development of practical techniques. A unified treatment of the theory was attempted, e.g., the author sought to relate the derivations for tests on the circle and the two-sample problem to the basic theory for the one-sample problem on the line. The Markovian nature of the sample distribution function is stressed, as it accounts for the elegance of many of the results achieved, as well as the close relation with parts of the theory of stochastic processes.

Advances in the use of stochastic dominance in asset pricing

Advances in the use of stochastic dominance in asset pricing PDF Author: Philippe Johannes Petrus Marie Versijp
Publisher: Rozenberg Publishers
ISBN: 9051709358
Category :
Languages : en
Pages : 128

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Book Description


Stochastic Dominance

Stochastic Dominance PDF Author: Haim Levy
Publisher: Springer Science & Business Media
ISBN: 0387293116
Category : Business & Economics
Languages : en
Pages : 439

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Book Description
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.