Primer on Stochastic Dominance

Primer on Stochastic Dominance

In the problem of financial decision making under uncertainty, the accumulated capital from investing in risky assets is a random variable. The preference for random variables can be expressed in terms of the characteristics of their distributions with the order relations of stochastic dominance.

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Bibliographische Detailangaben
Veröffentlicht in:Wilmott (London, England) England), 2015-09, Vol.2015 (79), p.18-21
Hauptverfasser: MacLean, Leonard C., Ziemba, Bill
Format: Artikel
Sprache:eng
Schlagworte:
Asset management
Capital
Decision making models
Financial planning
Random variables
Risk assessment
Stochastic control theory
Stochastic models
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Beschreibung
Zusammenfassung:In the problem of financial decision making under uncertainty, the accumulated capital from investing in risky assets is a random variable. The preference for random variables can be expressed in terms of the characteristics of their distributions with the order relations of stochastic dominance.
ISSN:1540-6962
1541-8286
DOI:10.1002/wilm.10443