Incentives in religious performance: a stochastic dominance approach

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...

A Truthfulness and Stochastic Dominance with Monetary Transfers

We consider truthfulness concepts for auctions with payments based on firstand second-order stochastic dominance. We assume bidders consider wealth in standard quasi-linear form as valuation minus payments. Additionally, they are sensitive to risk in the distribution of wealth stemming from randomized mechanisms. Firstand second-order stochastic dominance are well-known to capture risk-sensitiv...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

Stocks or Options: Risk Choices and Compensation Design

We analyze the impact of the existence of bad-tail risks on the decision to pay managers in stocks or in options and find that, contrary to conventional wisdom that options incent higher risk-taking, options are sometimes the superior vehicle for limiting managerial incentives to take bad-tail risks. Though options have not been the dominant form of compensation in the financial services indust...