The Efficiency Analysis of Choices Involving Risk

Hanoch, Giora; Levy, Heim

doi:10.1142/9789814417358_0017

Cited by 111 publications

(82 citation statements)

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“…For the financial sector see: Barro and Barro (1990), Crawford et al (1995), Hubbard and Palia (1995), Collins et al (1995), Houston and James (1995), Fields andFraser (1999), andJohn et al (2000). Swalm (1966), Levy (1969) and Kahneman and Tversky (1979), show that typical preferences must include risk seeking as well as risk averse segments. 3 The stochastic dominance literature developed by Hadar and Russell (1969) and Hanoch and Levy (1969), which includes the concepts of conditional stochastic dominance (Clark and Jokung, 1999) and marginal conditional stochastic dominance (Shalit and Yitshaki, 1994) extends this insight and provides decision rules for both risk seekers and risk averters.…”

Section: Introductionmentioning

confidence: 99%

The Effect of CEO Risk Appetite on Firm Volatility: An Empirical Analysis of Financial Firms☆

Belghitar

Clark

2012

International Journal of the Economics of Business

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Section: Introductionmentioning

confidence: 99%

The Effect of CEO Risk Appetite on Firm Volatility: An Empirical Analysis of Financial Firms☆

Belghitar

Clark

2012

International Journal of the Economics of Business

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“…Introduced by Hanoch and Levy (1969) and by Hadar and Russell (1969) to remedy certain shortcomings of mean-variance analysis, stochastic dominance approaches have the clear advantage of taking into account all moments and other characteristics of the return distributions, and providing investment dominance analyses that do not depend upon knowing the exact shapes of investor preference functions. This has another distinct advantage over the mean-variance approach, which cannot be valid for various horizons simultaneously because it relies on log-normally distributed returns, and which if valid (under certain conditions) for single-period returns is not valid for multiperiod returns.…”

Section: Performance Measurementmentioning

confidence: 99%

Stable Value Funds Performance

Babbel

Herce

2018

Risks

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Little in the scholarly economics literature is directed specifically to the performance of stable value funds, although they occupy a leading place among retirement investment vehicles. They are currently offered in more than one-third of all defined contribution plans in the USA, with more than $800 billion of assets under management. This paper rigorously examines their performance throughout the entire period since their inception in 1973. We produce a composite index of stable value returns. We next conduct mean-variance analysis, Sharpe and Sortino ratio analysis, stochastic dominance analysis, and optimal multi-period portfolio composition analysis. Our evidence suggests that stable value funds dominate (on average) two major asset classes based on a historical analysis, and that they often occupy a significant position in optimized portfolios across a broad range of risk aversion levels. We discuss factors that contributed to stable value funds' past performance and whether they can continue to perform well into the future. We also discuss considerations regarding whether or not to include stable value as an element in target date funds within defined contribution pension plans.

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“…In terms of distributions, this amounts to Q * being obtained from Q by increasing values (pointwise) and applying mean-preserving spreads (see Hadar and Russell 1969;Hanoch and Levy 1969;Rothschild and Stiglitz 1970; and the book of Shaked and Shanthikumar 2010).…”

Section: Remarksmentioning

confidence: 99%