How does beta explain stochastic dominance efficiency?

Review of Quantitative Finance and Accounting

Volumn 35, Issue 4, 2010, Pages 431-444

  Shalit, Haim ^a   Yitzhaki, Shlomo ^b  

^a BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^b International Relations and Statistical Coordination Department   (Israel)

Author keywords

Extended Gini; Gini; Lorenz curves; Marginal conditional stochastic dominance; Systematic risk

Indexed keywords

EID: 77958487278     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-010-0167-2     Document Type: Article

References (30)

1. Aaberge R (2000) Characterization of Lorenz curves and income distributions. Soc Choice Welf 17: 639-653.
2. Best RW, Hodges CW, Yoder JA (2006) Expected earnings growth and portfolio performance. Rev Quant Financ Account 26: 431-437.
3. Carroll C, Thistle PD, Wei JKC (1992) The robustness of risk-return nonlinearities to the normality assumption. J Financ Quant Anal 27: 419-435.
4. Chow KV, Riley WB, Formby JP (1992) International portfolio selection and efficiency analysis. Rev Quant Financ Account 2: 47-67.
5. Dentcheva D, Ruszczyński A (2006) Portfolio optimization with stochastic dominance constraints. J Bank Financ 30: 433-451.
6. Gregory-Allen RB, Shalit H (1999) The estimation of systematic risk under differentiated risk aversion: a mean-extended Gini approach. Rev Quant Financ Account 12: 135-157.
7. Hadar J, Russell WR (1969) Rules for ordering uncertain prospects. Am Econ Rev 59: 25-34.
8. Hanoch G, Levy H (1969) The efficiency analysis of choice involving risk. Rev Econ Stud 36: 335-346.
9. Kleiber C, Kotz S (2002) A characterization of income distributions in terms of generalized Gini coefficients. Soc Choice Welf 19: 789-794.
10. Levy H (1992) Stochastic dominance and expected utility: survey and analysis. Manag Sci 38: 555-593.
11. Levy H (2006) Stochastic dominance: investment decision making under uncertainty, 2nd edn. Springer Verlag, New York.
12. Ogryczak W, Ruszczyński A (2002) Dual stochastic dominance and related mean-risk models. SIAM J Optim 13: 60-78.
13. Olkin I, Yitzhaki S (1992) Gini regression analysis. Int Stat Rev 60: 185-196.
14. Post T (2003) Empirical tests for stochastic dominance efficiency. J Financ 58: 1905-1931.
15. Rothschild M, Stiglitz JE (1970) Increasing risk I: a definition. J Econ Theory 2: 225-243.
16. Ruszczyński A, Vanderbei RJ (2003) Frontier of stochastically nondominated portfolios. Econometrica 71: 1287-1297.
17. Samuelson PA (1967) General proof that diversification pays. J Financ Quant Anal 2: 1-13.
18. Shalit H, Yitzhaki S (1994) Marginal conditional stochastic dominance. Manage Sci 40: 670-684.
19. Shalit H, Yitzhaki S (2002) Estimating beta. Rev Quant Financ Acc 18: 95-118.
20. Shalit H, Yitzhaki S (2003) An asset allocation puzzle: comment. Am Econ Rev 93: 1002-1008.
21. Shalit H, Yitzhaki S (2009) Capital market equilibrium with heterogeneous investors. Quant Financ 9: 757-766.
22. Shorrocks AJ (1983) Ranking income distributions. Economica 50: 3-17.
23. Thistle PD (1993) Negative moments, risk aversion, and stochastic dominance. J Financ Quant Anal 28(2): 301-311.
24. Yaari ME (1987) The dual theory of choice under risk. Econometrica 55: 95-115.
25. Yitzhaki S (1982) Stochastic dominance, mean-variance, and Gini's mean difference. Am Econ Rev 72: 178-185.
26. Yitzhaki S (1983) On an extension of the gini inequality index. Int Econ Rev 24: 617-628.
27. Yitzhaki S (1998) More than a dozen alternative ways of spelling Gini. Res Econ Inequal 8: 13-30.
28. Yitzhaki S (2003) Gini's mean difference: a superior measure of variability for non-normal distributions. Metron 41: 285-316.
29. Yitzhaki S, Mayshar J (2002) Characterizing efficient portfolios. Available at: http://papers. ssrn. com/sol3/papers. cfm?abstract_id=297899.
30. Yitzhaki S, Olkin I (1991) Concentration indices and concentration curves. In Mosler K, Scarsini M (eds) Stochastic orders and decisions under risk. Institute of Mathematical Statistics, Hayward, CA, Lecture-Notes Monograph Series, vol 19, pp 380-392.