Volume 12 of the series Studies in Risk and Uncertainty pp 215228
The Empirical Studies
 Haim LevyAffiliated withThe Hebrew University of Jerusalem
Abstract
In judging the quality of an investment decision making rule, two factors have to be taken into account: a) its underlying assumptions; b) its effectiveness in terms of the relative size of the resultant efficient set. Based solely on the first factor, the FSD is the best rule because the only assumption needed for its derivation is that U ∈ U_{1} or U′ ≥ 0. However, the FSD rule is likely to be ineffective in that the resultant efficient set may not be much smaller than the feasible set. Generally, the larger the number of assumptions (e.g., risk aversion, decreasing absolute risk aversion), the smaller the induced efficient set.
 Title
 The Empirical Studies
 Book Title
 Stochastic Dominance
 Book Subtitle
 Investment Decision Making under Uncertainty
 Pages
 pp 215228
 Copyright
 1998
 DOI
 10.1007/9781475728408_7
 Print ISBN
 9781475728422
 Online ISBN
 9781475728408
 Series Title
 Studies in Risk and Uncertainty
 Series Volume
 12
 Series ISSN
 0926972X
 Publisher
 Springer US
 Copyright Holder
 Springer Science+Business Media New York
 Additional Links
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 Authors

 Haim Levy ^{(2)}
 Author Affiliations

 2. The Hebrew University of Jerusalem, Israel
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