التفاصيل البيبلوغرافية
| العنوان: |
ON THE RELATIVE EFFECTIVENESS OF STOCHASTIC DOMINANCE RULES: EXTENSION TO DECREASINGLY RISK-AVERSE UTILITY FUNCTIONS. |
| المؤلفون: |
Vickson, R. G., Altmann, M. |
| المصدر: |
Journal of Financial & Quantitative Analysis; Mar1977, Vol. 12 Issue 1, p73-84, 12p |
| مصطلحات موضوعية: |
INVESTMENT analysis -- Mathematical models, PORTFOLIO performance, STOCHASTIC processes, INVESTMENT analysis, STOCHASTIC analysis, INVESTMENT policy |
| مستخلص: |
The article presents an evaluation of the effectiveness of decreasing absolute risk-averse utility function based stochastic dominance rules (DSD) in comparison to third-degree stochastic dominance rules (TSD) of portfolio analysis. Comparisons are offered between the various models to further clarify their sub-set relationship and thus appropriate use as a substitutionary indicator. The author concludes a "left-tail problem" within the results of DSD's minimal reduction of TSD, however stronger its ordering theoretically. |
| قاعدة البيانات: |
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