Stochastic dominance and expected utility: survey and analysis

By Haim Levy. 1992

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Citations in the corpus

Why is Posterior Sampling Better than Optimism for Reinforcement Learning? (2016, background): “This characterization of optimism for random variables aﬀords us several equivalences via integration by parts [19].”
Delta Plots and Coherent Distribution Ordering (2008, unknown): “The notion of stochastic dominance is familiar in the economics and finance literature (e.g., Levy 1992) as well as the statistics literature (e.g., Abadie 2002).”
Portfolio optimization with stochastic dominance constraints (2006, background): “JEL classification: C44; C61; G11 Keywords: Portfolio optimization; Stochastic dominance; Stochastic order; Risk; Utility function; Duality”
Stochastic Efficiency Analysis with Risk Aversion Bounds: A Simplified Approach (2004, unknown): “Within the stochastic dominance paradigm, Levy (1992) reviewed the theoretical developments and empirical applications in economics, finance and statistics. For a more recent treatment in an agricultural context, see Robison and Myers (2001).”
Hazardous materials transportation (2011, methodology): “Two methods that are frequently used in incorporating uncertainty are mean-risk (e.g., Markowitz, 1987; Ogryczak and Ruszczynski, 2002) and stochastic dominance (e.g., Yitzhaki, 1982; the survey by Levy, 1992).”
Testing for stochastic dominance using the weighted McFadden-type statistic (2006, background): “Many theoretical and applied contributions in these and related areas have been summarized by Mosler and Scarsini (1991), Levy (1992), Shaked and Shanthikumar (1994), Davidson and Duclos (2000), Müller and Stoyan (2002), Barrett and Donald (2003), Chakravarty and Muliere (2003), Linton et al.…”
On the Value of Mix Flexibility and Dual Sourcing in Unreliable Newsvendor Networks (2005, methodology): “The Gy1y2 K1 K2 expressions found in Equation (24) in the loss-averse section are given by Gy1y2 K1 K2 =Gy1y2 K1 K2 v= 0 , where Gy1y2 K1 K2 v are given below.”
Testing for Stochastic Dominance Efficiency (2010, background): “…is a central theme in a wide variety of applications in economics, finance, and statistics; see, for example, the review papers by Kroll and Levy (1980) and Levy (1992), the classified bibliography by Mosler and Scarsini (1993), and the books by Shaked and Shanthikumar (1994) and Levy (1998).”
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001, background): “These considerations and the theory of stochastic dominance (see Bawa [8, 9, 10], Fishburn [58], Levy [121], Kijima and Ohnishi [104], and Levy and Wiener [125]) stimulated the research in asymmetric risk measures like expectation of loss and semivariance; cf.”
Extending the MAD portfolio optimization model to incorporate downside risk aversion (2001, methodology): “The Markowitz model has been criticized as not being consistent with axiomatic models of preferences for choice under risk because it does not rely on a relation of stochastic dominance (c.f., Whitmore and Findlay, 1978; Levy, 1992).”
Deep Reinforcement Learning at the Edge of the Statistical Precipice (2021, methodology): “If one curve is strictly above another, the better method is said to stochastically dominate8 the other [27, 61].”
Robust portfolio selection under downside risk measures (2009, methodology): “It has been shown that the – model is more compatible with both the utility theory and the rule of stochastic dominance in decision theory (Bawa 1975, 1978, Bawa and Lindenberg 1977, Fishburn 1977, 1982, 1984, Levy 1992, Nawrocki 1999, Unser 2000, Ogryczak and Ruszczyński 2002).”