Publication Cover
The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 59, 2014 - Issue 1
345
Views
1
CrossRef citations to date
0
Altmetric
Original Article

Empirical Tests of Stochastic Dominance in Capital Investment Planning: A Spreadsheet Framework

References

  • Abadie, A. (2002) Bootstrap tests for distributional treatment effects in instrumental variable models. Journal of the American Statistical Association, 97(457), 284–292.
  • Anderson, G. (1996) Nonparametric tests of stochastic dominance in income distributions. Econometrica, 64(5), 1183–1193.
  • Barrett, G.F. and Donald, S.G. (2003) Consistent tests for stochastic dominance. Econometrica, 71(1), 71–104.
  • Cheung, J.K. (1985) Stochastic dominance as an approach to uncertainty in cost accounting. Journal of Accounting Education, 3(2), 91–102.
  • Davidson, R. and Duclos, J.-Y. (2000) Statistical inference for stochastic dominance and for the measurement of poverty and inequality. Econometrica, 68, 1435–1464.
  • Hadar, J. and Russell, W.R. (1969) Rules for ordering uncertain prospects. American Economic Review, 59, 25–34.
  • Hanoch, G. and Levy, H. (1969) The efficiency analysis of choices involving risk. The Review of Economic Studies, 36(3), 335–346.
  • Heathcote, A., Brown, S., Wagenmakers, E. J., and Eidels, A. (2010) Distribution-free tests of stochastic dominance for small samples. Journal of Mathematical Psychology, 54, 454–463.
  • Leshno, M. and Levy, H. (2002) Preferred by “all” and preferred by “most” decision makers: almost stochastic dominance. Management Science, 48(8), 1074–1085.
  • Lesser, J.A. (1990) Application of stochastic dominance tests to utility resource planning under uncertainty. Energy, 15(11), 949–961.
  • Levy, H. (2006) Stochastic dominance: investment decision making under uncertainty, 2nd ed. Springer, New York.
  • Linton, O., Maasoumi, E. and Whang, Y.-J. (2005) Consistent testing for stochastic dominance under general sampling schemes. The Review of Economic Studies, 72(3), 735–765.
  • Maasoumi, E. and Heshmati, A. (2000) Stochastic dominance amongst Swedish income distributions. Econometric Reviews, 19(3), 287–320.
  • Maasoumi, E. and Millimet, D.L. (2005) Robust inference concerning recent trends in U.S. environmental quality. Journal of Applied Econometrics, 20(1), 55–77.
  • Maasoumi, E., Millimet, D.L. and Rangaprasad, V. (2005) Class size and educational policy: who benefits from smaller classes? Econometric Reviews, 24(4), 333–368.
  • Markowitz, H.M. (1952) Portfolio selection. Journal of Finance, 7(1), 77–91.
  • McFadden, D. (1989) Testing for stochastic dominance. In Studies in the economics of uncertainty in honor of Josef Hadar, T.B. Fomby and T.K. Seo, editors. Springer-Verlag, New York.
  • Nelson, R.D. and Pope, R.D. (1991) Bootstrapped insights into empirical applications of stochastic dominance. Management Science, 37(9), 1182–1194.
  • Ouederni, B.N. and Sullivan, W.G. (1991) A semi-variance model for incorporating risk into capital investment analysis. The Engineering Economist, 36(2), 83–106.
  • Park, C.S. and Sharp-Bette, G.P. (1990) Advanced engineering economics, 10th ed. Wiley, Hoboken, NJ.
  • Richmond, A. (2002) Applying four different risk models in local ore selection. Natural Resources Research, New York.
  • Rothschild, M. and Stiglitz, J.E. (1970) Increasing risk: I. A definition. Journal of Economic Theory, 2(3), 225–243.
  • Sarnat, M. (1987) On the use of risk analysis for the evaluation of industrial R&D expenditures. Managerial and Decision Economics, 8, 255–258.
  • Smith, E.G., Clapperton, M.J. and Blackshaw, R.E. (2004) Profitability and risk of organic production systems in the northern Great Plains. Renewable Agriculture and Food Systems, 19(3), 152–158.
  • Taylor, C., Rix, G. and Liu, F. (2009) Exploring financial decision-making approaches for use in earthquake risk decision processes for ports. Journal of Infrastructure Systems, 15(4), 406–416.
  • Tzeng, L.Y., Huang, R.J. and Shih, P.-T. (2013) Revisiting almost second-degree stochastic dominance. Management Science, 59(5), 1250–1254.
  • Von Neumann, J. and Morgenstern, O. (1944) Theory of games and economic behavior. Princeton University Press, Princeton, NJ.
  • Vose, D. (2008) Risk analysis: a quantitative guide, 3rd ed. John Wiley & Sons, Hoboken, NJ.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.