Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/162805 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2017-40
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
A counterexample is presented to show that the sufficient condition for one transformation dominating another by the second degree stochastic dominance, proposed by Theorem 5 of Levy (Stochastic dominance and expected utility: Survey and analysis, 1992), does not hold. Then, by restricting the monotone property of the dominating transformation, a revised exact sufficient condition for one transformation dominating another is given. Next, the stochastic dominance criteria, proposed by Meyer (Stochastic Dominance and transformations of random variables, 1989) and developed by Levy (Stochastic dominance and expected utility: Survey and analysis, 1992), are extended to the most general transformations. Moreover, such criteria are further generalized to transformations on discrete random variables. Finally, the authors employ this method to analyze the transformations resulting from holding a stock with the corresponding call option.
Schlagwörter: 
stochastic dominance
transformation
utility theory
option strategy
JEL: 
C51
D81
G1
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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