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IMPROVING THE MEAN‐VARIANCE CRITERION USING STOCHASTIC DOMINANCE

 

作者: Gerald J. LaCava,  

 

期刊: Decision Sciences  (WILEY Available online 1976)
卷期: Volume 7, issue 1  

页码: 29-39

 

ISSN:0011-7315

 

年代: 1976

 

DOI:10.1111/j.1540-5915.1976.tb00655.x

 

出版商: Blackwell Publishing Ltd

 

数据来源: WILEY

 

摘要:

ABSTRACTThe increased importance of the nonnormal stable Paretian distributions necessitates the development of an investment criterion which does not depend upon the mean and variance. This paper develops a criterion based upon the location and scale parameters of a probability distribution. The rationale of the criterion is established using stochastic dominance orderings of probability distributions. The paper also presents estimators for the location and scale parameters.

 

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