Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR

DOI10.1016/j.ejor.2010.05.043zbMath1206.91047OpenAlexW3124505284MaRDI QIDQ992696

Chenghu Ma, Wing-Keung Wong

Publication date: 9 September 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://research.soe.xmu.edu.cn/repec/upload/20074231156587055475115776.pdf

zbMATH Keywords

utilityrisk analysisdecision analysisstochastic dominancerisk attributes

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (6)

Mean-risk analysis with enhanced behavioral content ⋮ Loss-averse preferences and portfolio choices: an extension ⋮ An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Segregation and integration: a study of the behaviors of investors with extended value functions ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

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