Computing sets of expected utility maximizing distributions for common utility functions

References

• Aboudi , R. and Thon , D. 1994 . Efficient algorithms for stochastic dominance tests based on financial market data . Management Science , 40 : 508 – 515 .
   Web of Science ®Google Scholar
• Bawa , V. S. , Bodurtha , V. N. Jr. , Rao , M. R. and Suri , H. L. 1985 . On the determination of stochastic dominance optimal sets . Journal of Finance , 40 : 417 – 431 .
   Web of Science ®Google Scholar
• Bishop , J. A. , Chakraborti , S. and Thistle , P. D. 1989 . Asymptotically distribution-free statistical inference of generalized Lorenz curves . Review of Economics and Statistics , 71 : 725 – 727 .
   Web of Science ®Google Scholar
• Bishop , J. A. , Formby , J. P. and Thistle , P. D. 1989 . “ Statistical inference, income distributions and social welfare ” . In Research on Economic Inequality , Edited by: Slottje , D. J. Vol. 1 , Greenwich, CT : JAI Press .
   Google Scholar
• Brockett , P. L. and Golden , L. L. 1987 . A class of utility functions containing all the common utility functions . Management Science , 33 : 955 – 964 .
   Web of Science ®Google Scholar
• Chow , K. V. , Chakraborti , S. and Thistle , P. D. 1992 . A simple test for any degree of stochastic dominance , Western Michigan University . working paper
   Google Scholar
• Efron , B. 1979 . Bootstrap methods: another look at the jack-knife . Annals of Statistics , 7 : 1 – 26 .
   Web of Science ®Google Scholar
• Efron , B. 1982 . The Jackknife, the Bootstrap and Other Resampling Plans , Philadelphia : Society for Industrial and Applied Mathematics .
   Google Scholar
• Efron , B. and Tibshirani , R. J. 1993 . An Introduction to the Bootstrap , New York : Chapman and Hall .
   Google Scholar
• Fishburn , P. C. 1964 . Decision and Value Theory , New York : Wiley .
   Google Scholar
• Fishburn , P. C. 1974 . Convex stochastic dominance with continuous distribution functions . Journal of Economic Theory , 7 : 143 – 158 .
   Web of Science ®Google Scholar
• Fishburn , P. C. 1978 . “ Convex stochastic dominance ” . In Stochastic Dominance , Edited by: Whitmore , G. A. and Findlay , M. C. 337 – 351 . Lexington : Lexington Books .
   Google Scholar
• Hadar , J. and Russell , W. R. 1969 . Rules for ordering uncertain prospects . American Economic Review , 59 : 25 – 34 .
   Web of Science ®Google Scholar
• Hanoch , G. and Levy , H. 1969 . The efficiency analysis of choices involving risk . Review of Economic Studies , 36 : 335 – 346 .
   Web of Science ®Google Scholar
• Helms , B. P. , Jean , W. H. and Tehranian , H. 1986 . An algorithm for nth degree stochastic dominance . Applied Stochastic Models and Data Analysis , 2 : 71 – 81 .
   Google Scholar
• Hunter , W. C. and Timme , S. G. 1992 . A stochastic dominance approach to evaluating foreign exchange rate hedging strategies . Financial Management , 21 : 104 – 112 .
   Web of Science ®Google Scholar
• Ingersoll , J. E. Jr. 1987 . Theory of Financial Decision Making , Savage, MD : Rowman and Littlefield .
   Google Scholar
• International Monetary Fund . 1995 . rnational Financial Statistics , Washington, DC : Publication Services, International Monetary Fund .
   Google Scholar
• Joy , O. M. and Porter , B. 1974 . Stochastic dominance and mutual fund performance . Journal of Financial and Quantitative Analysis , 9 : 25 – 31 .
   Web of Science ®Google Scholar
• Kimball , M. S. 1990 . Precautionary saving in the small and the large . Econometrica , 58 : 53 – 73 .
   Web of Science ®Google Scholar
• Kroll , Y. and Levy , H. 1980 . Sampling errors and portfolio efficient analysis . Journal of Financial and Quantitative Analysis , 15 : 665 – 688 .
   Web of Science ®Google Scholar
• Levy , H. 1992 . Stochastic dominance and expected utility: survey and analysis . Management Science , 38 : 555 – 593 .
   Web of Science ®Google Scholar
• Meyer , J. 1977 . Further applications of stochastic dominance to mutual fund performance . Journal of Financial and Quantitative Analysis , 12 : 235 – 242 .
   Web of Science ®Google Scholar
• Mooney , C. Z. and Duval , R. D. 1993 . Bootstrapping: A Nonparametric Approach to Statistical Inference , Newbury Park : Sage Publications .
   Google Scholar
• Pope , R. D. and Zeimer , R. 1984 . Stochastic efficiency, normality and sampling errors in agricultural risk analysis . American Journal of Agricultural Economics , 66 : 31 – 40 .
   Web of Science ®Google Scholar
• Pratt , J. W. and Zeckhauser , R. J. 1987 . Proper risk aversion . Econometrica , 55 : 143 – 154 .
   Web of Science ®Google Scholar
• Quirk , J. P. and Saposnik , R. 1962 . Admissibility and measurable utility functions . Review of Economic Studies , 29 : 140 – 146 .
   Web of Science ®Google Scholar
• Rothschild , M. and Stiglitz , J. E. 1973 . Some further results on the measurement of inequality . Journal of Economic Theory , 6 : 188 – 204 .
   Web of Science ®Google Scholar
• Scott , R. C. and Horvath , P. A. 1980 . On the direction of preference of moments of higher order than the variance . Journal of Finance , 35 : 915 – 919 .
   Web of Science ®Google Scholar
• Sharpe , W. F. 1966 . Mutual fund performance . Journal of Business , 39 : 119 – 138 .
   Web of Science ®Google Scholar
• Stein , W. , Pfaffenberger , R. and French , D. W. 1987 . Sampling error in first order stochastic dominance . Journal of Financial Research , 10 : 259 – 268 .
   Web of Science ®Google Scholar
• Stein , W. , Pfaffenberger , R. and Kumar , P. C. 1983 . On the estimation risk in first order stochastic dominance . Journal of Financial and Quantitative Analysis , 18 : 471 – 476 .
   Web of Science ®Google Scholar
• Thistle , P. D. 1993 . Negative moments, risk aversion and stochastic dominance . Journal of Financial and Quantitative Analysis , 28 : 301 – 311 .
   Web of Science ®Google Scholar
• Weisenberger Arthur and Co . 1964 . Investment Companies , New York : Arthur Weisenberger and Co .
   Google Scholar
• Whitmore , G. A. 1970 . Third degree stochastic dominance . American Economic Review , 60 : 457 – 459 .
   Web of Science ®Google Scholar