Third Degree Stochastic Dominance and Mean-Risk Analysis
By Jun-ya Gotoh, H. Konno. 2000
73 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/3e4b8cb131b556c8f96aa6f1a95ee2ff08778586
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Raymond H. Chan
- Wlodzimierz Ogryczak
- Andrzej Ruszczynski
- Thomas Knoke
- Wing-Keung Wong
- Walter Briec
- Kristiaan Kerstens
- Darinka Dentcheva †
In Management Science and Operations Research
- Andrzej Ruszczynski
- Wlodzimierz Ogryczak
- Walter Briec
- Kristiaan Kerstens
- Raymond H. Chan
- Thomas Knoke
- Wing-Keung Wong
- Alexander Shapiro
Citations in the corpus
- Portfolio selection in multidimensional general and partial moment space (2010, background): “For instance, while Fishburn (1977) proves this result only for second degree partial moments (i.e., lower semi-variance), Gotoh and Konno (2000) prove the same result for third degree partial moments (i.e., lower semi-skewness), and Ogryczak and Ruszczyński (2001) demonstrate the same for higher…”
- Admixing broadleaved to coniferous tree species: a review on yield, ecological stability and economics (2008, background): “Gotoh and Konno 2000; Mandelbrot and Hudson 2005; Post and van Vliet 2006; Knoke and Wurm 2006).”
- Prospect and Markowitz stochastic dominance (2007, background): “Whitmore (1970) extends the second order SD to the third order SD for risk averters and thereafter many academics demonstrate the usefulness of the third order SD, see for example, Gotoh and Hiroshi (2000) and Ng (2000). In addition, Hammond (1974) generlizes the SD theory to the n-order for any int”
- Dual Stochastic Dominance and Related Mean-Risk Models (2002, result): “These results were further generalized in [7, 23], where it was shown that mean-risk models using higher order central semideviations as risk measures are in harmony with the stochastic dominance relations of the corresponding degree.”
- Frontiers of Stochastically Nondominated Portfolios (2003, unknown): “An identical result (under the condition of finite second moments) has been obtained in [22] for the standard semideviation, and further extended in [23] to central semideviations of higher orders and stochastic dominance relations of higher orders (see also [9]).”