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Persistent link: https://www.econbiz.de/10011859016
In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Thereafter, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a...
Persistent link: https://www.econbiz.de/10013101800
Persistent link: https://www.econbiz.de/10011938136
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...
Persistent link: https://www.econbiz.de/10013072485
In this paper, we first develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of...
Persistent link: https://www.econbiz.de/10012948116
In this paper, we first develop some properties to state the relationships among central moments, stochastic dominance (SD), risk-seeking stochastic dominance (RSD), and integrals for the general utility functions and the polynomial utility functions of both risk averters and risk seekers. We...
Persistent link: https://www.econbiz.de/10013214393
In this paper, we develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of assets...
Persistent link: https://www.econbiz.de/10012848346
In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial crisis and establish some properties of stock returns and investors' behavior during a financial crisis and subsequent recovery. Our approach provides a quantitative description for investors'...
Persistent link: https://www.econbiz.de/10015234561
This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and risk-neutral investors. Thereafter, we study the comparative statics of the change in the...
Persistent link: https://www.econbiz.de/10015235392
To satisfy the property of expected-utility maximization, Tzeng et al. (2012) modify the almost second-degree stochastic dominance proposed by Leshno and Levy (2002) and define almost higher-degree stochastic dominance. In this note, we further investigate the relevant properties. We define an...
Persistent link: https://www.econbiz.de/10015235704