Robust stochastic dominance: A semi-parametric approach
نویسندگان
چکیده
منابع مشابه
Robust Lorenz Curves: A Semi-Parametric Approach
Lorenz curves and second-order dominance criteria are known to be sensitive to data contamination in the right tail of the distribution. We propose two ways of dealing with the problem: (1) Estimate Lorenz curves using parametric models for income distributions, and (2) Combine empirical estimation with a parametric (robust) estimation of the upper tail of the distribution using the Pareto mode...
متن کاملClimate Change: a Stochastic Dominance Approach
Global climate change presents a classic problem of decision making under uncertainty with learning. We provide stochastic dominance theorems that provide new insights into when abatement and investment into low carbon technology should increase in risk. We show that R&D into lowcarbon technologies and near-term abatement are in some sense opposites in terms of risk. Abatement provides insuranc...
متن کاملSpanning and Intersection: A Stochastic Dominance Approach
We propose linear programming tests for spanning and intersection based on stochastic dominance rather than mean-variance analysis. An empirical application investigates the diversification benefits to US investors from emerging equity markets. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) HG 1576+ Statistics Ba...
متن کاملA Stochastic Dominance Approach to Spanning
We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings sugges...
متن کاملRobust Dynamic Optimization of a Semi-Batch Emulsion Polymerization Process with Parametric Uncertainties - a Heuristic Approach -
Optimized exothermic semi-batch emulsion polymerization typically exhibits active arcs of the constraints for the reactor temperature. Given parametric uncertainties in the process model, this might lead to constraint violations which are a safety concern. Therefore, an approach is investigated, such that constraint violations are less likely and is hence robust feasible. The two-model approach...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Economic Inequality
سال: 2006
ISSN: 1569-1721,1573-8701
DOI: 10.1007/s10888-006-9022-z