Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Arrow, 1974 Baucells, 2006, Stochastic dominance and cumulative prospect theory, Manage. Sci., 52, 1409, 10.1287/mnsc.1060.0537 Chateauneuf, 2005, More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model, Econom. Theory, 25, 649, 10.1007/s00199-003-0451-7 Chew, 1987, Risk aversion in the theory of expected utility with rank dependent probabilities, J. Econom. Theory, 42, 370, 10.1016/0022-0531(87)90093-7 Fishburn, 1976, Continua of stochastic dominance relations for bounded probability distributions, J. Math. Econom., 3, 295, 10.1016/0304-4068(76)90015-X Fishburn, 1980, Continua of stochastic dominance relations for unbounded probability distributions, J. Math. Econom., 7, 271, 10.1016/0304-4068(80)90013-0 Föllmer, 2002, Convex measures of risk and trading constraints, Finance Stoch., 6, 429, 10.1007/s007800200072 Hadar, 1969, Rules for ordering uncertain prospects, Amer. Econ. Rev., 59, 25 Hanoch, 1969, The efficiency analysis of choices involving risk, Rev. Econom. Stud., 36, 335, 10.2307/2296431 Harrison, 1986, An experimental test for risk aversion, Econom. Lett., 21, 7, 10.1016/0165-1765(86)90111-4 Huang, 2020, Fractional degree stochastic dominance, Manage. Sci., 66, 4630, 10.1287/mnsc.2019.3406 Kamihigashi, 2020, Partial stochastic dominance via optimal transport, Oper. Res. Lett., 48, 584, 10.1016/j.orl.2020.07.003 Kimball, 1993, Standard risk aversion, Econometrica, 61, 589, 10.2307/2951719 Levy, 1973, Stochastic dominance among log-normal prospects, Internat. Econom. Rev., 14, 601, 10.2307/2525973 Liu, 2021, Distributional transforms, probability distortions, and their applications, Math. Oper. Res., 46, 1490, 10.1287/moor.2020.1090 Liu, 2021, A theory for measures of tail risk, Math. Oper. Res., 46, 1109, 10.1287/moor.2020.1072 Meyer, 1977, Second degree stochastic dominance with respect to a function, Internat. Econom. Rev., 18, 477, 10.2307/2525760 Müller, 2017, Between first and second-order stochastic dominance, Manage. Sci., 63, 2933, 10.1287/mnsc.2016.2486 Müller, 2021, Technical note—Ranking distributions when only means and variances are known, Oper. Res. Pratt, 1964, Risk aversion in the small and in the large, Econometrica, 32, 122, 10.2307/1913738 Quiggin, 1982, A theory of anticipated utility, J. Econ. Behav. Organ., 3, 323, 10.1016/0167-2681(82)90008-7 Rabin, 2000, Risk aversion and expected-utility theory: A calibration theorem, Econometrica, 68, 1281, 10.1111/1468-0262.00158 Rabin, 2001, Anomalies risk aversion, J. Econ. Perspet., 15, 219, 10.1257/jep.15.1.219 Rothschild, 1970, Increasing risk: I. A definition, J. Econom. Theory, 2, 225, 10.1016/0022-0531(70)90038-4 Schmidt, 2002, An experimental test of loss aversion, J. Risk Uncertain., 25, 233, 10.1023/A:1020923921649 Schmidt, 2008, Risk aversion in cumulative prospect theory, Manage. Sci., 54, 208, 10.1287/mnsc.1070.0762 Shaked, 2007 Strassen, 1965, The existence of probability measures with given marginals, Ann. Math. Stat., 36, 423, 10.1214/aoms/1177700153 Tversky, 1992, Advances in prospect theory: Cumulative representation of uncertainty, J. Risk Uncertain., 5, 297, 10.1007/BF00122574 Wang, 2020 Yaari, 1987, The dual theory of choice under risk, Econometrica, 55, 95, 10.2307/1911158 Yang, 2022, Fraction-degree reference dependent stochastic dominance, Methodol. Comput. Appl. Probab., 24, 1193, 10.1007/s11009-022-09939-0