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Revisiting generalized almost stochastic dominance

Jow-Ran Chang (), Wei-Han Liu () and Mao-Wei Hung ()
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Jow-Ran Chang: National Tsing Hua University
Wei-Han Liu: Institute of Management Technology
Mao-Wei Hung: National Taiwan University

Annals of Operations Research, 2019, vol. 281, issue 1, No 9, 175-192

Abstract: Abstract We review the Generalized Almost Stochastic Dominance definition in Tsetlin et al. (Oper Res 63(2):363–377, 2015). We follow the classic concept of stochastic dominance in minimizing specific assumptions about decision makers’ risk attitudes as highlighted by Levy (Manag Sci 38(4):555–593, 1992). We refine the definition of almost stochastic dominance by Leshno and Levy (Manag Sci 48(8):1074–1085, 2002) to secure economic intuition. We then present our definitions of almost stochastic dominance with an extension to the higher degrees. Our definition satisfies both expected utility maximization property and hierarchy property while minimizing assumption and securing economic intuition.

Keywords: Stochastic dominance; Almost stochastic dominance; Expected utility maximization property; Hierarchy property (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10479-018-2828-9

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