their work by first recommending an existing stochastic dominance test to handle the issue and thereafter developing a new … test for the ASD which could detect dominance for any pre-determined small value. We also provide two approaches to obtain … the critical values for our proposed test. …

-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs …’ demand, while an increase in expected energy price will surely cause the risk averse firm to decrease the demand for energy … risk averse firm to decrease the demands for the non-risky inputs. Furthermore, we investigate the two cases with only …

on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available … ways to manage risk of which one of the most important forms is interest rate risk. In this paper we use the mean …

unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

Bai, et al. (2011c) develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small … unbiased. In this paper we illustrate the superiority of our proposed test over the Sharpe ratio (SR) test by applying both … tests to analyze the performance of Commodity Trading Advisors (CTAs). Our findings show that while the SR test concludes …

markets and risk aversion in bear markets. We use both ascending and descending stochastic dominance procedures to test for …Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function … of reverse S-shaped utility functions. This is consistent with investors exhibiting risk-seeking tendencies in bull …

than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated … in the literature. In particular, we observe that for Markowitz investors, preferences toward risk vary depending on … their sensitivities toward gains and losses. For example, it turns out that, unlike in the case of risk-averse and risk …