Stochastic dominance Research Papers - Academia.edu (original) (raw)

Top Papers
Most Cited Papers
Most Downloaded Papers
Newest Papers
People
- by
- •
- Program Evaluation, Econometrics, Education Policy, Stochastic dominance

This paper compares two groups of stocks to analyse the efficiency of having an ethical portfolio in comparison with a conventional portfolio. Therefore, efficiency test by second-order stochastic dominance (SSD) approach is applied on both groups, which consist of 12 stocks. Ethical portfolio is chosen from the stocks complying with the participation banking rules. Conventional portfolio is selected from Borsa Istanbul with choosing the corresponding stocks for each ethical stock according to the sector and market capitalization. All the stocks of both groups are SSD pairwise compared. Both groups of 12 stocks are inefficient portfolios, however a group of 7 stocks constitute an efficient ethical portfolio with the total weight of 69% among the set of 12 ethical stocks. On the other hand, a group of 6 stocks constitute an efficient conventional portfolio with the total weight of 64% among the set of 12 conventional stocks. By pairwise SSD comparison of corresponding stocks from both groups; despite none of the conventional stocks dominate ethical stocks, 4 ethical ones dominated the conventional ones.

- by Murat Işıker
- •
- Stochastic dominance, Portfolio Optimization, Ethical investments

... location and scale family of distributions and the properties of non-negative combinations of random variables for ASD and DSD. In Section 5, the stochastic dominance theories for ... [a; b]; b. SDSD, denoted by X º2 Y or F º2 G; if... more

- by Wing-keung Wong
- •
- Information Systems, Applied Mathematics, Decision Making, Stochastic dominance
- by Ola Flaten and +1
- •
- Stochastic Programming, Stochastic dominance, Multidisciplinary, Risk Analysis
- by Franz Wirl
- •
- Stochastic dominance, Applied Economics, First-Order Logic, Economics Business
- by Herve Moulin
- •
- Economic Theory, Stochastic dominance, Is Strategy, Ordinal
- by Barbara Mellers
- •
- Marketing, Psychology, Cognitive Science, Experimental Psychology

A Monte Carlo method is presented to study the effect of systematic and random errors on computer models mainly dealing with experimental data. It is a common assumption in this type of models (linear and nonlinear regression, and nonregression computer models) involving experimental measurements that the error sources are mainly random and independent with no constant background errors (systematic errors). However, from comparisons of different experimental data sources evidence is often found of significant bias or calibration errors. The uncertainty analysis approach presented in this work is based on the analysis of cumulative probability distributions for output variables of the models involved taking into account the effect of both types of errors. The probability distributions are obtained by performing Monte Carlo simulation coupled with appropriate definitions for the random and systematic errors. The main objectives are to detect the error source with stochastic dominance on the uncertainty propagation and the combined effect on output variables of the models. The results from the case studies analyzed show that the approach is able to distinguish which error type has a more significant effect on the performance of the model. Also, it was found that systematic or calibration errors, if present, cannot be neglected in uncertainty analysis of models dependent on experimental measurements such as chemical and physical properties. The approach can be used to facilitate decision making in fields related to safety factors selection, modeling, experimental data measurement, and experimental design.

- by Victor Vasquez
- •
- Stochastic Process, Decision Making, Monte Carlo Simulation, Monte Carlo
- by Ramachandran Ranganathan
- •
- Engineering, Stochastic dominance, Cost Reduction, Failure probability
- by Barry Nalebuff
- •
- Stochastic dominance, Diversification, Developing Country, Leverage
- by Roxana Chiriac
- •
- Econometrics, Applied Econometrics, Time Series, Forecasting
- by Ioan Oancea and +1
- •
- Stochastic dominance, Risk Aversion, Stochastic Volatility, Option pricing
- by j kenton zumwalt
- •
- Stochastic dominance, Sharpe Ratio, Statistical Significance, Indexation

This study measures the impact of fanya juu bunds (an important soil and water conservation technology and the most popular type of contour bund in east Africa) on the value of crop production in a high-rainfall area in the Ethiopian highlands using cross-sectional multiple plot observations. We applied switching regression, stochastic dominance analysis (SDA), and decomposition and propensity score matching

- by Randy Bluffstone and +1
- •
- Decomposition, East Africa, Stochastic dominance, Soil Erosion
- by David Saah
- •
- Development Economics, Public Economics, Economic Growth, Developing Countries
- by james muwonge
- •
- Anthropology, Robustness Analysis, Stochastic dominance, Poverty Measurement
- by Matthieu Clément
- •
- Stochastic dominance, Panel Data, Financial Crisis, Labor Market
- by Barbara Mellers
- •
- Marketing, Psychology, Cognitive Science, Experimental Psychology
- by Rashad Huseynov
- •
- Environmental Engineering, Civil Engineering, Decision Making, Water resources
- by Martyna Kobus
- •
- Welfare Economics, Poverty, Stochastic dominance, Income inequality
- by Badr El-din Sofian
- •
- Agricultural Economics, Saudi Arabia, Stochastic dominance, Applied Economics

The central premise of the Black and Scholes [Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–659] and Merton [Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141–184] option pricing theory is that there exists a self-financing dynamic trading policy of the stock

- by Stylianos Perrakis
- •
- Political Economy, Transaction Costs, Management Science, Stochastic dominance
- by Itai Benjamini
- •
- Stochastic Process, Statistics, Graph Theory, Potential Theory
- by Andrea Vigorito
- •
- Capability Approach, Stochastic dominance, Poverty Measurement, Panel Data
- by W. Ogryczak and +1
- •
- Stochastic dominance, Multidisciplinary, Portfolio Optimization, Risk Aversion

In this paper, we investigate the impact of the integrated urban housing development program on poverty alleviation using household's consumption expenditure as a proxy. For this, primary household level data were collected from 240 randomly selected households, 120 from participants while 120 from non-participants, during the 2011 fiscal year, in Adama city of the Oromia National Regional State, Ethiopia. Using

- by Jema Haji
- •
- Stochastic dominance, Poverty Alleviation, Propensity Score Matching

The continuing creation of portfolio insurance applications as well as the mixed research evidence suggests that so far no consensus has been reached about the effectiveness of portfolio insurance. Therefore, this paper provides a performance evaluation of the stop-loss, synthetic put and constant proportion portfolio insurance techniques based on a block-bootstrap simulation. Apart from more traditional performance measures, we consider

Comment la pauvreté at-elle évolué pendant les années 1997-1999, période durant laquelle les performances de l'économie péruvienne se sont sérieusement détériorées sous l'effet négatif de la crise financière internationale ? La... more

- by javier herrera
- •
- Stochastic dominance, Panel Data, Public Good, Inequality
- by Antonella BASSO
- •
- Applied Mathematics, Stochastic dominance, Business and Management, Mutual Fund
- by Elias Mulugeta
- •
- Agricultural Economics, Stochastic dominance, Applied Economics, Food Security
- by Ivan Fernandezval
- •
- Stochastic dominance, Policy Analysis, Quantile Regression
- by Anne Gron
- •
- Applied Mathematics, Statistics, Stochastic dominance, General Equilibrium

Two indistinguishable envelopes each contain a dollar amount. One contains twice as much as the other, but you do not know which one is which. You have randomly chosen one envelope. Should you keep it or switch to the other? Surprisingly, the literature still contains no axiomatic justification for the claim that one should be indifferent between the two envelopes before opening one of them. (If you open your envelope and find an amount of X, then -- at first glance -- the expected value of the other envelope seems to be 0.5*2X to 0.5*X/2, which exceeds X, making the other envelope more attractive.) We present a simple axiomatic justification for indifference between the two envelopes. Furthermore, although the two-envelope paradox standardly assumes an expectation-maximizing agent, we show that analogous paradoxes arise for agents using different decision principles such as maximin and maximax, and that our justification for indifference applies here too.
Preprint: http://eprints.lse.ac.uk/6050/1/The_two-envelope_paradox_%28LSERO%29.pdf

- by Christian List
- •
- Mathematics, Probability Theory, Decision Making, Bayesian
- by Dries Vermeulen
- •
- Algorithms, Operations Research, Management Science, Performance

AbstractUsing four rounds (1999, 2002, 2005 and 2008) of the Korean Labor and Income Panel Study, the present paper examines determinants of household income and consumption levels and inequalities. Unconditional as well as conditional stochastic dominance tests are performed by year, by household heads’ characteristics (age, education, gender, health, marital status and occupation) and by household characteristics (household type, household size and degree of urbanization). Mean least squares regression techniques are used to predict conditional expectations. The residuals containing effects for each characteristic conditional on the remaining characteristics are then used for the stochastic dominance analysis employing extended Kolmogorov–Smirnov tests of first-order and second-order dominance in distribution of income and consumption. The results provide a detailed and up-to-date picture of inequality and poverty by subgroup in Korea, which helps in targeting particularly vulnerable groups. While inequality in disposable income is found to be substantial, consumption inequality is less substantial. Households headed by the elderly, the uneducated, the divorced, the widowed, females, and those with health problems are found to be the most vulnerable groups.

- by Robert Rudolf
- •
- Poverty, Stochastic dominance, Bootstrap, Asian Economic Community
- by Roberto Pinheiro
- •
- Economics, Political Economy, Stochastic dominance, Los Angeles
- by Paul Makdissi
- •
- Economics, Tax reform, Stochastic dominance, Fiscal reform

This paper evaluates the ex-post impact of adopting improved groundnut varieties on crop income and rural poverty in rural Uganda. The study utilizes cross-sectional farm household data collected in 2006 in seven districts of Uganda. We estimated the average adoption premium using propensity score matching (PSM), poverty dominance analysis tests, and a linear regression model to check robustness of results.

- by Geoffrey Muricho
- •
- Rural Poverty, Stochastic dominance, Poverty Measurement, Poverty Reduction
- by Włodzimierz Ogryczak
- •
- Stochastic dominance, Decision Theory, Robust optimization, Risk Aversion
- by Antonios Antoniou
- •
- Stochastic dominance, Capital Market

In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a delta-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and delta-SSD portfolio efficiency classi cation with respect to changes in scenarios of returns. We propose new SSD and delta-SSD portfolio efficiency measures as measures of the stability. We derive a non-linear and mixed-integer non-linear programs for evaluating these measures. Contrary to all existing SSD portfolio inefficiency measures, these new measures allow us to compare any two delta-SSD efficient or SSD efficient portfolios.Finally, using historical US stock market data, we compute delta-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios.

- by Milos Kopa
- •
- Mathematics, Computer Science, Econometrics, Game Theory

The paper provides an evaluation of the redistribution effects stemming from the changes to the personal income tax introduced in the last decade. The analysis confirms that between 1989 and 2001 the net average tax rate increased for all taxpayers and, above all, for one-earner couples. The reason is twofold: a) the progressivity of the tax makes larger the burden on these households of changes in income brackets and tax rates; b) the absence of dependent relatives does not allow the compensation of higher taxes with increased tax ...

- by Chiara Rapallini
- •
- Stochastic dominance, Income Distribution, Social Welfare, Tax Burden
- by Susan Musau
- •
- Child health, Stochastic dominance, Health Status, Rural Area
- by Alain Trannoy and +1
- •
- Economic Theory, Stochastic dominance, Income Distribution, Applied Economics