Almost Stochastic Dominance for Risk Averters and Risk Seekers

17 Pages Posted: 11 Sep 2014 Last revised: 27 May 2015

See all articles by Xu Guo

Xu Guo

Hong Kong Baptist University (HKBU) - Department of Mathematics; Nanjing University of Aeronautics and Astronautics

Wing-Keung Wong

Asia University, Department of Finance

Lixing Zhu

Hong Kong Baptist University (HKBU) - Department of Mathematics

Date Written: May 27, 2015

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 almost stochastic dominance (GASD). We then briefly discuss the advantages and disadvantages of ASD and GASD.

Keywords: Almost Stochastic Dominance, generalized almost stochastic dominance, expected-utility maximization, risk averters, risk seekers, moments

JEL Classification: C00, D81, G11

Suggested Citation

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing, Almost Stochastic Dominance for Risk Averters and Risk Seekers (May 27, 2015). Available at SSRN: https://ssrn.com/abstract=2494717 or http://dx.doi.org/10.2139/ssrn.2494717

Xu Guo

Hong Kong Baptist University (HKBU) - Department of Mathematics ( email )

Kowloon Tong
Hong Kong
Hong Kong

Nanjing University of Aeronautics and Astronautics

Yudao Street
210016
Nanjing,, 210016
China

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

Lixing Zhu

Hong Kong Baptist University (HKBU) - Department of Mathematics ( email )

Kowloon Tong
Hong Kong
Hong Kong

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
86
Abstract Views
879
Rank
527,956
PlumX Metrics