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- W3199948305 abstract "We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its edge, we show that the Aumann-Serrano and the Foster-Hart general riskiness indicators do not conform to third order SD. The ordering we introduce sheds light on mean variance theory and performance measurement, related SD developments, and optimal diversification. Besides, it contributes to the explanation of Rabin's paradox and reconciles the discrepancy between moment preferences and expected utility theory." @default.
- W3199948305 created "2021-09-27" @default.
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- W3199948305 date "2020-01-01" @default.
- W3199948305 modified "2023-09-23" @default.
- W3199948305 title "A Complete Ranking of Risky Prospects Consistent with Stochastic Dominance" @default.
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- W3199948305 doi "https://doi.org/10.2139/ssrn.3729152" @default.
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