Skip to main content

Future Research

  • Chapter
Stochastic Dominance

Part of the book series: Studies in Risk and Uncertainty ((SIRU,volume 12))

  • 1525 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 209.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 269.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Hanoch, G. and H. Levy, “Efficient Portfolio Selection with Quadratic and Cubic Utility,” J. Business, 43, 1976, pp. 181–189.

    Article  Google Scholar 

  2. Yitzhaki, S., “Stochastic Dominance, Mean-Variance and Gini’s Mean Difference,” Amer. Economic Rev., 72, 1982, pp. 178–185.

    Google Scholar 

  3. Rothschild, M. and J.E. Stiglitz, “Increasing Risk. I. A Definition,” J. Economic Theory, 3, 1970, pp. 66–84.

    Article  MathSciNet  Google Scholar 

  4. Kroll, Y., Leshno, M., Levy, H. and Spector, Y., “Increasing Risk, Decreasing Absolute Risk Aversion and Diversification,” Journal of Math. Economics, 24, 1995, pp. 537–556.

    Article  MATH  MathSciNet  Google Scholar 

  5. Shalit, H. and Yitzhaki, S., “Marginal Conditional Stochastic Dominance,” Management Science, 40, No.5, 1984.

    Google Scholar 

  6. Post, Thierry, “Empirical Test for stochastic dominance efficiency,” Journal of Finance, 2003, 58, pp. 1905–1931.

    Article  Google Scholar 

  7. See Kuosmanen, T., “Stochastic Dominance Efficiency Tests Under Diversification,” Helsinki School of Economics, 2001, Bodurtha, J.N., “Second-Order Dominance Dominated, Undominated and Optimal Portfolios, Georgetown University., 2003, working paper, Pim van Vliet, “Downside Risk and Empirical Asset Pricing,” Erim Ph.D. Series Research in Management, 49, 2004, and Post, T. and Levy, H., “Does Risk Seeking Drive Stock Prices,” Review of Financial Studies, 2005.

    Google Scholar 

  8. Tobin, J., “The Theory of Portfolio Selection,” in F. Hahn and F. Brechling, The Theory of Interest Rates (MacMillan, New York).

    Google Scholar 

  9. Levy, H., “Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case,” Amer. Economic Rev., 63, 1973, pp. 986–994.

    Google Scholar 

  10. Merton, R.C., and Samuelson, P.A., “Fallacy of the Log Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods,” Journal of Financial Economics, 1, 1974, pp. 67–94.

    Article  Google Scholar 

  11. Sharpe, W.F., “Mutual Fund Performance,” Journal of Business, 39, 1966, pp. 119–38.

    Article  Google Scholar 

  12. Treynor, J.L., “How to Rate Management Investment Funds,” Harvard Business Review (July–August 1965).

    Google Scholar 

  13. Levy, H., “Portfolio Performance and the Investment Horizon,” Management Science, 18, 1972, pp. 645–53.

    Google Scholar 

  14. Levhari, D. and H. Levy, “The Capital Asset Pricing Model and the Investment Horizon,” Review of Economics and Statistics, 59, 1977, pp. 92–104.

    Article  Google Scholar 

  15. Hodges, C.W., Taylor, W.R.L. and Yoder, J.A., “Stocks, Bonds, The Sharpe Ratio, and the Investment Horizon,” Financial Analyst Journal, December 1997.

    Google Scholar 

  16. Bodie, Zvi, “On the Risks of Stocks in the Long Run,” Financial Analyst Journal, May/June 1995, pp. 18–22.

    Google Scholar 

  17. Levy, H. and Cohen, A., “On the Risk of Stocks in the Long Run: Revisited,” The Journal of Portfolio Management, Spring 1998, pp. 60–69.

    Google Scholar 

  18. Levy, H., “Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case,” Amer. Economic Rev., 1993b, pp. 986–994.

    Google Scholar 

  19. Cohen, A., “Portfolio Selection with Stochastic Investment Horizons,” The Hebrew University of Jerusalem, October 1995.

    Google Scholar 

  20. Levy, H., and Markowitz, H.M., “Approximating Expected Utility by a Function of Mean and Variance,” American Economic Review, 69, 1979, pp. 308–17.

    Google Scholar 

  21. Kroll, Y., Levy, H., and Markowitz, H., “Mean-Variance Versus Direct Utility Maximization,” The Journal of Finance, March 1984, pp. 47–61.

    Google Scholar 

  22. Markowitz, H.M., “Foundations of Portfolio Theory,” Journal of Finance, Vol. 46, 2, 1991, pp. 469–478.

    Article  Google Scholar 

  23. Levy, H., “Stochastic Dominance Rules for Truncated Normal Distributions: A Note,” Journal of Finance, 37, 1982, pp. 1299–1303.

    Article  Google Scholar 

  24. See Chapter 8, Levy, H., “Preferred by ‘All’ and Preferred by ‘Most’ Decision Makers: Almost Stochastic Dominance,” Management Science, 2002 footnote 26.

    Google Scholar 

  25. See also Leshno, M. and Levy, H., “Stochastic Dominance and Medical Decision Making,” Health Care Management Science, 2004.

    Google Scholar 

  26. Leshno, M., and Levy, H., “Preferred by ‘All’ and Preferred by ‘Most’ Decision Makers: Almost Stochastic Dominance,” Management Science, 2002. For more details, see Chapter 14.

    Google Scholar 

  27. See Chapter 8, footnotes 11 and 12.

    Article  Google Scholar 

  28. See Chapter 8, footnotes 13 and 14.

    Article  Google Scholar 

  29. See Chapter 8, footnote 18.

    Google Scholar 

Download references

Rights and permissions

Reprints and permissions

Copyright information

© 2006 Springer Science+Business Media, Inc.

About this chapter

Cite this chapter

(2006). Future Research. In: Stochastic Dominance. Studies in Risk and Uncertainty, vol 12. Springer, Boston, MA . https://doi.org/10.1007/0-387-29311-6_16

Download citation

Publish with us

Policies and ethics