Multivariate Stochastic Dominance: A Parametric Approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245950" target="_blank" >RIV/61989100:27510/20:10245950 - isvavai.cz</a>
Result on the web
<a href="https://ideas.repec.org/a/ebl/ecbull/eb-20-00368.html" target="_blank" >https://ideas.repec.org/a/ebl/ecbull/eb-20-00368.html</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multivariate Stochastic Dominance: A Parametric Approach
Original language description
This paper proposes parameterized multivariate stochastic dominance (PMSD) rules under different distributional assumptions for a class of non-satiable risk-seeking investors. In particular, it determines the PMSD rules for both stable symmetric and Student's t distributions. Methodologically, the PMSD rules for ordering are based on comparison of i) location parameters, ii) dispersion parameters, and iii) either stability indices or degrees of freedom. In addition, it presents the main steps for evaluating such rules. This paper confirms that return tail behavior plays a crucial role in determining non-satiable investors' optimal choices.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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