Prospect and Markowitz stochastic dominance

Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper,...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Wong, W. -K. [verfasserIn] Chan, R. H.

Format:	Artikel
Sprache:	Englisch

Erschienen:	2007

Schlagwörter:	Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function

Anmerkung:	© Springer-Verlag 2007

Übergeordnetes Werk:	Enthalten in: Annals of finance - Springer-Verlag, 2005, 4(2007), 1 vom: 22. März, Seite 105-129
Übergeordnetes Werk:	volume:4 ; year:2007 ; number:1 ; day:22 ; month:03 ; pages:105-129

Links:	Volltext

DOI / URN:	10.1007/s10436-007-0072-4

Katalog-ID:	OLC2052726659

Internformat


LEADER	01000caa a22002652 4500
001	OLC2052726659
003	DE-627
005	20230502192838.0
007	tu
008	200820s2007 xx \|\|\|\|\| 00\| \|\|eng c
024	7		\|a 10.1007/s10436-007-0072-4 \|2 doi
035			\|a (DE-627)OLC2052726659
035			\|a (DE-He213)s10436-007-0072-4-p
040			\|a DE-627 \|b ger \|c DE-627 \|e rakwb
041			\|a eng
082	0	4	\|a 330 \|q VZ
082	0	4	\|a 340 \|q VZ
100	1		\|a Wong, W. -K. \|e verfasserin \|4 aut
245	1	0	\|a Prospect and Markowitz stochastic dominance
264		1	\|c 2007
336			\|a Text \|b txt \|2 rdacontent
337			\|a ohne Hilfsmittel zu benutzen \|b n \|2 rdamedia
338			\|a Band \|b nc \|2 rdacarrier
500			\|a © Springer-Verlag 2007
520			\|a Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision.
650		4	\|a Prospect stochastic dominance
650		4	\|a Markowitz stochastic dominance
650		4	\|a Risk seeking
650		4	\|a Risk averse
650		4	\|a S-shaped utility function
650		4	\|a Reverse S-shaped utility function
700	1		\|a Chan, R. H. \|4 aut
773	0	8	\|i Enthalten in \|t Annals of finance \|d Springer-Verlag, 2005 \|g 4(2007), 1 vom: 22. März, Seite 105-129 \|w (DE-627)477990088 \|w (DE-600)2174824-X \|w (DE-576)116313676 \|x 1614-2446 \|7 nnns
773	1	8	\|g volume:4 \|g year:2007 \|g number:1 \|g day:22 \|g month:03 \|g pages:105-129
856	4	1	\|u https://doi.org/10.1007/s10436-007-0072-4 \|z lizenzpflichtig \|3 Volltext
912			\|a GBV_USEFLAG_A
912			\|a SYSFLAG_A
912			\|a GBV_OLC
912			\|a SSG-OLC-WIW
912			\|a GBV_ILN_26
912			\|a GBV_ILN_2018
912			\|a GBV_ILN_4277
912			\|a GBV_ILN_4307
951			\|a AR
952			\|d 4 \|j 2007 \|e 1 \|b 22 \|c 03 \|h 105-129

Indexfelder

author_variant	w - w w- w-w r h c rh rhc
matchkey_str	article:16142446:2007----::rsetnmroiztca
hierarchy_sort_str	2007
publishDate	2007
allfields	10.1007/s10436-007-0072-4 doi (DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p DE-627 ger DE-627 rakwb eng 330 VZ 340 VZ Wong, W. -K. verfasserin aut Prospect and Markowitz stochastic dominance 2007 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag 2007 Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function Chan, R. H. aut Enthalten in Annals of finance Springer-Verlag, 2005 4(2007), 1 vom: 22. März, Seite 105-129 (DE-627)477990088 (DE-600)2174824-X (DE-576)116313676 1614-2446 nnns volume:4 year:2007 number:1 day:22 month:03 pages:105-129 https://doi.org/10.1007/s10436-007-0072-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307 AR 4 2007 1 22 03 105-129
spelling	10.1007/s10436-007-0072-4 doi (DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p DE-627 ger DE-627 rakwb eng 330 VZ 340 VZ Wong, W. -K. verfasserin aut Prospect and Markowitz stochastic dominance 2007 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag 2007 Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function Chan, R. H. aut Enthalten in Annals of finance Springer-Verlag, 2005 4(2007), 1 vom: 22. März, Seite 105-129 (DE-627)477990088 (DE-600)2174824-X (DE-576)116313676 1614-2446 nnns volume:4 year:2007 number:1 day:22 month:03 pages:105-129 https://doi.org/10.1007/s10436-007-0072-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307 AR 4 2007 1 22 03 105-129
allfields_unstemmed	10.1007/s10436-007-0072-4 doi (DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p DE-627 ger DE-627 rakwb eng 330 VZ 340 VZ Wong, W. -K. verfasserin aut Prospect and Markowitz stochastic dominance 2007 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag 2007 Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function Chan, R. H. aut Enthalten in Annals of finance Springer-Verlag, 2005 4(2007), 1 vom: 22. März, Seite 105-129 (DE-627)477990088 (DE-600)2174824-X (DE-576)116313676 1614-2446 nnns volume:4 year:2007 number:1 day:22 month:03 pages:105-129 https://doi.org/10.1007/s10436-007-0072-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307 AR 4 2007 1 22 03 105-129
allfieldsGer	10.1007/s10436-007-0072-4 doi (DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p DE-627 ger DE-627 rakwb eng 330 VZ 340 VZ Wong, W. -K. verfasserin aut Prospect and Markowitz stochastic dominance 2007 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag 2007 Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function Chan, R. H. aut Enthalten in Annals of finance Springer-Verlag, 2005 4(2007), 1 vom: 22. März, Seite 105-129 (DE-627)477990088 (DE-600)2174824-X (DE-576)116313676 1614-2446 nnns volume:4 year:2007 number:1 day:22 month:03 pages:105-129 https://doi.org/10.1007/s10436-007-0072-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307 AR 4 2007 1 22 03 105-129
allfieldsSound	10.1007/s10436-007-0072-4 doi (DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p DE-627 ger DE-627 rakwb eng 330 VZ 340 VZ Wong, W. -K. verfasserin aut Prospect and Markowitz stochastic dominance 2007 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag 2007 Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function Chan, R. H. aut Enthalten in Annals of finance Springer-Verlag, 2005 4(2007), 1 vom: 22. März, Seite 105-129 (DE-627)477990088 (DE-600)2174824-X (DE-576)116313676 1614-2446 nnns volume:4 year:2007 number:1 day:22 month:03 pages:105-129 https://doi.org/10.1007/s10436-007-0072-4 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307 AR 4 2007 1 22 03 105-129
language	English
source	Enthalten in Annals of finance 4(2007), 1 vom: 22. März, Seite 105-129 volume:4 year:2007 number:1 day:22 month:03 pages:105-129
sourceStr	Enthalten in Annals of finance 4(2007), 1 vom: 22. März, Seite 105-129 volume:4 year:2007 number:1 day:22 month:03 pages:105-129
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function
dewey-raw	330
isfreeaccess_bool	false
container_title	Annals of finance
authorswithroles_txt_mv	Wong, W. -K. @@aut@@ Chan, R. H. @@aut@@
publishDateDaySort_date	2007-03-22T00:00:00Z
hierarchy_top_id	477990088
dewey-sort	3330
id	OLC2052726659
language_de	englisch
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2052726659</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230502192838.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2007 xx \|\|\|\|\| 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10436-007-0072-4</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2052726659</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10436-007-0072-4-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">340</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Wong, W. -K.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Prospect and Markowitz stochastic dominance</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2007</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer-Verlag 2007</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Prospect stochastic dominance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Markowitz stochastic dominance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk seeking</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk averse</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">S-shaped utility function</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Reverse S-shaped utility function</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Chan, R. H.</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Annals of finance</subfield><subfield code="d">Springer-Verlag, 2005</subfield><subfield code="g">4(2007), 1 vom: 22. März, Seite 105-129</subfield><subfield code="w">(DE-627)477990088</subfield><subfield code="w">(DE-600)2174824-X</subfield><subfield code="w">(DE-576)116313676</subfield><subfield code="x">1614-2446</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:4</subfield><subfield code="g">year:2007</subfield><subfield code="g">number:1</subfield><subfield code="g">day:22</subfield><subfield code="g">month:03</subfield><subfield code="g">pages:105-129</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10436-007-0072-4</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4277</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">4</subfield><subfield code="j">2007</subfield><subfield code="e">1</subfield><subfield code="b">22</subfield><subfield code="c">03</subfield><subfield code="h">105-129</subfield></datafield></record></collection>
author	Wong, W. -K.
spellingShingle	Wong, W. -K. ddc 330 ddc 340 misc Prospect stochastic dominance misc Markowitz stochastic dominance misc Risk seeking misc Risk averse misc S-shaped utility function misc Reverse S-shaped utility function Prospect and Markowitz stochastic dominance
authorStr	Wong, W. -K.
ppnlink_with_tag_str_mv	@@773@@(DE-627)477990088
format	Article
dewey-ones	330 - Economics 340 - Law
delete_txt_mv	keep
author_role	aut aut
collection	OLC
remote_str	false
illustrated	Not Illustrated
issn	1614-2446
topic_title	330 VZ 340 VZ Prospect and Markowitz stochastic dominance Prospect stochastic dominance Markowitz stochastic dominance Risk seeking Risk averse S-shaped utility function Reverse S-shaped utility function
topic	ddc 330 ddc 340 misc Prospect stochastic dominance misc Markowitz stochastic dominance misc Risk seeking misc Risk averse misc S-shaped utility function misc Reverse S-shaped utility function
topic_unstemmed	ddc 330 ddc 340 misc Prospect stochastic dominance misc Markowitz stochastic dominance misc Risk seeking misc Risk averse misc S-shaped utility function misc Reverse S-shaped utility function
topic_browse	ddc 330 ddc 340 misc Prospect stochastic dominance misc Markowitz stochastic dominance misc Risk seeking misc Risk averse misc S-shaped utility function misc Reverse S-shaped utility function
format_facet	Aufsätze Gedruckte Aufsätze
format_main_str_mv	Text Zeitschrift/Artikel
carriertype_str_mv	nc
hierarchy_parent_title	Annals of finance
hierarchy_parent_id	477990088
dewey-tens	330 - Economics 340 - Law
hierarchy_top_title	Annals of finance
isfreeaccess_txt	false
familylinks_str_mv	(DE-627)477990088 (DE-600)2174824-X (DE-576)116313676
title	Prospect and Markowitz stochastic dominance
ctrlnum	(DE-627)OLC2052726659 (DE-He213)s10436-007-0072-4-p
title_full	Prospect and Markowitz stochastic dominance
author_sort	Wong, W. -K.
journal	Annals of finance
journalStr	Annals of finance
lang_code	eng
isOA_bool	false
dewey-hundreds	300 - Social sciences
recordtype	marc
publishDateSort	2007
contenttype_str_mv	txt
container_start_page	105
author_browse	Wong, W. -K. Chan, R. H.
container_volume	4
class	330 VZ 340 VZ
format_se	Aufsätze
author-letter	Wong, W. -K.
doi_str_mv	10.1007/s10436-007-0072-4
dewey-full	330 340
title_sort	prospect and markowitz stochastic dominance
title_auth	Prospect and Markowitz stochastic dominance
abstract	Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. © Springer-Verlag 2007
abstractGer	Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. © Springer-Verlag 2007
abstract_unstemmed	Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision. © Springer-Verlag 2007
collection_details	GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_2018 GBV_ILN_4277 GBV_ILN_4307
container_issue	1
title_short	Prospect and Markowitz stochastic dominance
url	https://doi.org/10.1007/s10436-007-0072-4
remote_bool	false
author2	Chan, R. H.
author2Str	Chan, R. H.
ppnlink	477990088
mediatype_str_mv	n
isOA_txt	false
hochschulschrift_bool	false
doi_str	10.1007/s10436-007-0072-4
up_date	2024-07-03T16:18:09.682Z
_version_	1803575350716792832
fullrecord_marcxml	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2052726659</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230502192838.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2007 xx \|\|\|\|\| 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10436-007-0072-4</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2052726659</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10436-007-0072-4-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">340</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Wong, W. -K.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Prospect and Markowitz stochastic dominance</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2007</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer-Verlag 2007</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Prospect stochastic dominance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Markowitz stochastic dominance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk seeking</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk averse</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">S-shaped utility function</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Reverse S-shaped utility function</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Chan, R. H.</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Annals of finance</subfield><subfield code="d">Springer-Verlag, 2005</subfield><subfield code="g">4(2007), 1 vom: 22. März, Seite 105-129</subfield><subfield code="w">(DE-627)477990088</subfield><subfield code="w">(DE-600)2174824-X</subfield><subfield code="w">(DE-576)116313676</subfield><subfield code="x">1614-2446</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:4</subfield><subfield code="g">year:2007</subfield><subfield code="g">number:1</subfield><subfield code="g">day:22</subfield><subfield code="g">month:03</subfield><subfield code="g">pages:105-129</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10436-007-0072-4</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4277</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">4</subfield><subfield code="j">2007</subfield><subfield code="e">1</subfield><subfield code="b">22</subfield><subfield code="c">03</subfield><subfield code="h">105-129</subfield></datafield></record></collection>
score	7.4012003

Nicht das Richtige dabei?

Schreiben Sie uns!

Prospect and Markowitz stochastic dominance

Nicht das Richtige dabei?

Zugang & Verfügbarkeit

Vorhandene Bände

Nicht das Richtige dabei?