Rules for Ordering Uncertain Prospects

By Josef Hadar, W. Russell. 1969

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Citations in the corpus

Why is Posterior Sampling Better than Optimism for Reinforcement Learning? (2016, background): “Stochastic optimism is closely related to second-order stochastic dominance: X (cid:60) so Y if and only if − Y second-order stochastically dominates − X [13].”
Variational Bayesian Reinforcement Learning with Regret Bounds (2018, background): “Stochastic optimism is closely related to the more familiar concept of second-order stochastic dominance, in that X is stochastically optimistic for Y if and only if −Y second-order stochastically dominates −X [19].”
Deep Exploration via Randomized Value Functions (2017, background): “stochastic dominance (SSD) and we refer to (Hadar and Russell, 1969; Hanoch and Levy, 1969) for proofs.”
Risk measures and insurance premium principles (2001, background): “A risk Y is preferred to a risk X if (Huang et al [6] Chapter 2, Hadar and Russel [5]),Z x 0 FY (u)du Z x 0 FX(u)du (17) for all x 0: If this holds then (17) is equivalent to Eu(X) Eu(Y ) for any increasing and concave utility function u i.e. for risk aversion: For the equivalent de nition of r SSD ”
Preferences over location-scale family (2008, result): “Levy (1989) extended Meyer’s results to prove that the first- and second-degree stochastic dominance efficient sets are equal to the mean-variance efficient set under certain conditions.”
Prospect Theory: Much Ado About Nothing? (2002, background): “For proof of the FSD and SSD rules, see Hadar and Russell (1969), Hanoch and Levy (1969), and Rothschild and Stiglitz (1970). For a survey on stochastic dominance rules, see Levy (1992). PSD (Prospect Stochastic Dominance).”
Portfolio selection models: a review and new directions (2009, background): “Second order stochastic dominance was brought to economics by Hadar and Russel ([13]) and third order stochastic dominance by Whitmore ([50]).”
Downside risk and asset pricing (2004, background): “These empirical and theoretical considerations provide strong arguments for using the criterion of second-order stochastic dominance (SSD; Hadar and Russell (1969), Hanoch and Levy (1969) and Levy and Hanoch (1970)). This criterion avoids parameterization of investor preferences and the return distr”
Putting Risk in its Proper Place (2005, unknown): “Inequality (10) is clearly an expected-utility equivalent to our lottery-preference definition of temperance (Definition 2).”
Prospect and Markowitz stochastic dominance (2007, background): “One may first modify the proofs from Theorem 4 of Hadar and Russel (1971), Theorem 1’ of Tesfatsion (1976) or Theorem 8(a) in Li and Wong (1999) to obtain the proof of Corollary 4 for i = 1.”
Actuarial Risk Measures for Financial Derivative Pricing (2008, methodology): “, the (Geometric) Wiener process, the OrnsteinUhlenbeck process, the Cox-Ingersoll-Ross model or the Bessel process) are already contained in (19).”
An enhanced model for portfolio choice with SSD criteria: a constructive approach (2011, background): “The concept was introduced by Heath (2000), Carr et al. (2001), and Föllmer and Schied (2002).”