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
Language
English
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
