Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng et al. (2013) modified it to give another definition. This note provides more...

This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order...

Adopting both linear and nonlinear Granger causality tests, we find consumer attitude indices of the University of Michigan's surveys are very useful in predicting consumption movements of the United States.

This paper examines whether there is a discrepancy in estimating the elasticity of intertemporal substitution using food consumption instead of nondurable consumption data. We show that a discrepancy exists and that the discrepancy increases as nondurable consumption increases.

In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.