Title

Almost stochastic dominance for risk averters and risk seeker

Document Type

Journal article

Source Publication

Finance Research Letters

Publication Date

11-1-2016

Volume

19

First Page

15

Last Page

21

Publisher

Elsevier Ltd

Keywords

Almost stochastic dominance, Expected-utility maximization, Generalized almost stochastic dominance, Moments, Risk averters, Risk seekers

Abstract

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al.(2015) develop the theory of generalized ASD (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

DOI

10.1016/j.frl.2016.05.005

Print ISSN

15446123

E-ISSN

15446131

Funding Information

This research has been partially supported by grants from the Natural Science Foundation of Jiangsu Province, China (grant number BK20150732), Beijing Normal University, Hong Kong Baptist University, the Research Grants Council (RGC) of Hong Kong (project numbers 12502814 and 12500915), Asia University, Lingnan University and Chiang Mai University. {BK20150732, 12502814, 12500915}

Publisher Statement

Copyright © 2016 Elsevier Inc. Access to external full text or publisher's version may require subscription.

Full-text Version

Publisher’s Version

Recommended Citation

Guo, X., Wong, W.-K., & Zhu, L. (2016). Almost stochastic dominance for risk averters and risk seeker. Finance Research Letters, 19, 15-21. doi: 10.1016/j.frl.2016.05.005

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