Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance,...

Within the prospect theory the paper examines production and hedging decisions of a competitive firm under price uncertainty. We consider the prospect theory for the firm's utility function in the two moment model known as (mu,sigma)-preference. In contrast to the literature our findings show...

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and...

Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega...

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

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...

The high-speed growth of the health care sector has given this sector an increasingly important role in the stock market. This sector however has the highest mean in our study and a low correlation with the business cycle. On the other hand, T-Bill is also an important asset in investment...

By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be...

The technique of ANOVA has widely been used in Economics and Finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we develop the ANOVA model in which the time dependence assumption is released. We reprise the model with...

It is well-known that under some conditions, the mean-variance rule is equivalent to stochastic dominance rule. Some academics hypothesize that there could exist mean-Omega ratio rule that could be equivalent to stochastic dominance rule under certain conditions. To explore this possible, in...