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Why Investors Buy Insurance and Try Their Luck with Lotteries as Well?

Wong, Wing-Keung - 2020

In this paper, we develop a new stochastic dominance (SD) theory for investors with AD utility that consists of both … risk-averse and risk-seeking components. Based on the SD theory we developed in our paper, we find a new solution to answer …, transitivity, and diversification, for the new SD theory for investors with AD utility …

Persistent link: https://www.econbiz.de/10012854227

Should Investors Choose Both the Highest-Return and Small-Variance Assets When the Mean-Variance Rule Says No? A Study of Health Care and T-Bill in the Investment

Lv, Zhihui - 2020

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...

Persistent link: https://www.econbiz.de/10012841796

A New Pseudo-Bayesian Model with Implications to Financial Anomalies and Investors’ Behaviors

Lam, Kin - 2010

Barberis, Shleifer and Vishny (1998) and others have developed Bayesian models to explain investors' behavioral biases by using the conservatism heuristics and the representativeness heuristics in making decisions. To extend their work, Lam, Liu, and Wong (2010) have developed a model of weight...

Persistent link: https://www.econbiz.de/10013143271

Stochastic Dominance and Investors’ Behavior towards Risk : The Hong Kong Stocks and Futures Markets

Lean, Hooi Hooi - 2012

This paper applies stochastic dominance (SD) tests to examine the dominance relationships between the futures and spot markets in Hong Kong. We also analyze the preferences for the risk averters, risk seekers, prospect investors, and Markowitz investors with further in dept of their positive and...

Persistent link: https://www.econbiz.de/10013116374

Preferences of Malaysian Stocks and Futures Markets for Investors Before and After Crises

Wong, Wing-Keung - 2011

This paper applies the MV criterion, CAPM statistics, and the modified stochastic dominance tests to examine the stochastic dominance (SD) relationship between the spot and futures markets in Malaysia and investigates the preference of these markets for risk averters and risk seekers before...

Persistent link: https://www.econbiz.de/10013125370

Comparison the Production Behaviors of Regret-Averse and Purely Risk-Averse Firms

Guo, Xu - 2017

firms under certainty. This paper extends the theory by further investigating the effects of regret-aversion on production …

Persistent link: https://www.econbiz.de/10012947712

Consistent Tests for Almost Stochastic Dominance

Guo, Xu - 2015

Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal...

Persistent link: https://www.econbiz.de/10013024708

Almost Stochastic Dominance for Risk Averters and Risk Seekers

Guo, Xu - 2015

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD …. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss …

Persistent link: https://www.econbiz.de/10013032513

A Note on Stochastic Dominance and the Omega Ratio

Guo, Xu - 2016

one. We then extend the theory of risk measures by proving that the preference of second-order stochastic dominance …

Persistent link: https://www.econbiz.de/10012984821

Comparison of the Production Behavior of Regret-Averse and Purely Risk-Averse RMS

Wong, Wing-Keung - 2018

firms under certainty. This paper extends the theory by further investigating the effects of regret-aversion on production …

Persistent link: https://www.econbiz.de/10012910521