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This study analyzes the effect of ambiguity aversion on precautionary effort under a two period model when background risk like income risk is added to loss. Precautionary effort only affects the probability of loss occurrence. The sufficient conditions under which a risk averse and ambiguity averse individual makes more effort than a risk averse and ambiguity neutral one are as follows. First, the distribution of background risk changes in type of first order stochastic dominance. Second, the distribution of background risk changes in type of second order stochastic dominance and the utility function shows prudence. In both cases, AAA (absolute ambiguity aversion) should not increase. That is, AAA denotes DAAA (Decreasing Absolute Ambiguity Aversion) or CAAA (Constant Absolute Ambiguity Aversion). The effect of AAA is not observed in the existing literatures which assume a one-period model. In a one period model, the effect of AAA on precautionary effort of a long term may have ignored. Lastly, precautionary effort increases if and only if AAA is not increasing in cases when the background risk follows binary distribution or an individual is risk neutral and ambiguity averse.

This study uses stochastic dominance (SD) theory to examine whether the traditional festival, such as the Spring Festival (often in February), affects the patterns of monthly anomaly for the Taiwan Stock Exchange (TWSE). The paper aims to discuss these issues.

The authors employ a new bootstrap-based test due to Linton, Maasoumi and Whang (hereafter LMW). The LMW test is well suited for financial time series data, such as monthly returns of various portfolios in this study, because it allows for general dependence among the prospects (distributions) and does not require the observations to be identically and independently distributed.

The particular findings of this study are that the February effect and the February-size effect indeed exist in the TWSE. Furthermore, allowing part of investors' assets is invested in the risky asset and the remaining part in a risk-free asset, first finding for monthly anomaly in the extant literature, is useful in distinguishing the performance among various size-month portfolios.

Instead of tax-loss and window dressing hypothesis, the Spring Festival money movement hypothesis can be used to well explain the findings.

This paper aims to compare two groups of stocks to analyze the efficiency of an ethical portfolio in comparison with a conventional portfolio.

Efficiency test by second-order stochastic dominance (SSD) approach is applied on two groups, which consist of 12 stocks. Ethical portfolio is chosen from the stocks complying with the participation banking rules. Conventional portfolio is selected from Borsa Istanbul (BIST) with choosing the corresponding stocks for each ethical stock according to the sector and market capitalization. All the stocks of both groups are pairwise SSD compared.

Both groups of 12 stocks are inefficient portfolios; however, a group of 7 stocks constitute an efficient ethical portfolio with the total weight of 50.82 per cent among the set of 12 ethical stocks. On the other hand, a group of 6 stocks constitute an efficient conventional portfolio, with the total weight of 45.16 per cent among the set of 12 conventional stocks. By pairwise SSD comparison of corresponding stocks from both groups, despite none of the conventional stocks dominate ethical stocks, four ethical stocks dominated the conventional ones.

Back-testing and comparison with benchmark BIST 100 Index have been done for the selected portfolios. According to back-testing results, groups of SSD efficient stocks outperformed the groups, from which they were selected. Furthermore, both SSD efficient portfolios have higher returns than benchmark index, BIST 100.

The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets.

The paper applies the stochastic dominance (SD) approach, which is not distribution‐dependent and can shed light on the utility and wealth implications of portfolio preferences by exploiting information in higher order moments, to investigate empirically the existence of the Saturday effect in the three Gulf stock markets.

The findings indicate that the Saturday effect does not manifest itself in the three Gulf stock markets and that the SD results show that the Saturday effect in these markets is not present when raw data are corrected for thin and infrequent trading.

This paper is believed to be the first to use SD approach to examine the Saturday effect.

The purpose of this paper is to determine the stochastic net present value (NPV) of a model smallholder poultry operation in Rwanda under production and market uncertainty.

A discounted cash flow calculator was used to determine the NPV of operator investments and operating cash flows, including time, materials and capital. Broiler production data, market prices and variable input costs were collected from 125 smallholder operations in the Musanze District, Rwanda. These data were combined with a historical price index tracking the inflation rate of Rwanda’s currency. Policies including overstocking, technical support repayment scheduling, selling broilers at a spot market price, using marketing contracts and selling poultry manure were compared using non-parametric paired comparisons and stochastic dominance.

Risk-neutral and risk-averse producers would prefer overstocking, delaying repayment of technical support services and selling manure to status quo operational policy. No differences were observed between the option to sell birds at spot market prices or through contracts.

This analysis demonstrates how individual managerial or an intervention in smallholder broiler production affects financial performance.

To mitigate risk associated with this novel enterprise, producers should consider overstocking birds. If local markets for manure were developed, the risks faced by new or beginning poultry operators could be mitigated.

A stochastic, discounted cash flow model calculator was used to determine the NPV and discounted payback period of operator investments and operating cash flows, including time, materials and capital.

In recent years, electronic word-of-mouth (e-WOM) concerning travel products reflected in online review information has become an important reference for tourists to make their product purchase decisions, while for travel service providers (TSPs), monitoring and improving the e-WOM of their travel products is always an important task. Therefore, based on the online review information, how to capture e-WOM of travel products and find out specific ways to improve the e-WOM is a noteworthy research problem. The purpose of this paper is to develop a method for capturing and analyzing e-WOM toward travel products based on sentiment analysis and stochastic dominance.

Specifically, online review information of travel products is first crawled and preprocessed. Second, sentiment strengths of online review information toward travel products concerning each feature are judged. Then, the matrix of structured online review information toward travel products is formed. Further, the matrix of e-WOM comparisons between any two travel products is constructed, and e-WOM ranking concerning each travel product is determined. Finally, trade-off chart models are constructed to conduct the e-WOM improvement analyses concerning the travel products.

An empirical study based on the online review information toward six travel products crawled from the Tuniu.com website is given to illustrate the use of the proposed method.

The proposed method can not only realize the real-time e-WOM monitoring to travel products but also be useful for TSPs to improve the e-WOM of their travel products.

Much of the research literature in job shop scheduling deals with pure job shop environments. However, currently most processes involve a hybrid of both the job shop and a flow shop with a combination of flexible and conventional machine tools. Presents a study of such a job shop under varying conditions and performance criteria. Argues that for scheduling in this environment, certain combinations of scheduling rules should be utilized under different arrival rates and for different job types. A simulation model is developed using a hypothetical hybrid job shop to study the performance of rule combinations with variations in arrival rates and processing times. The performance criteria used are flowtime as a measure of work‐in‐process inventory, tardiness for JIT, and throughput for completed items inventory. It was found that rule combination performance varied with the performance criteria. Furthermore, it was found that the combinations were sensitive to arrival rates and processing times. Concludes, from the insights gained in the study, that the rule combination to be implemented should depend on the performance objective and the arrival rate/processing time condition of the hybrid job shop.

The aim of this paper is to propose and analyse policies capable of generating left‐skewed pension distributions. Such policies can deliver large pension values with high probability and hence are of interest to practical fund managers.

The paper uses a computational method capable of solving stochastic optimal control problems. The optimal strategies obtained through the method are used to simulate dynamic portfolio management.

The paper finds that optimisation of locally non‐concave performance measures has produced left‐skewed payoff distributions of small VaR and CVaR. The distributions remain left‐skewed for relatively large values of the diffusion parameter.

On the basis of the findings, it would seem beneficial for real‐world fund managers to implement this kind of optimising “cautious‐relaxed” policy.

A novel non‐concave performance measure has been proposed in the paper to describe a portfolio manager's aim. The computed “cautious‐relaxed” policies have been shown to realise this aim.

This paper aims to present two-stage network models in the presence of stochastic ratio data.

Black-box, free-link and fix-link techniques are used to apply the internal relations of the two-stage network. A deterministic linear programming model is derived from a stochastic two-stage network data envelopment analysis (DEA) model by assuming that some basic stochastic elements are related to the inputs, outputs and intermediate products. The linkages between the overall process and the two subprocesses are proposed. The authors obtain the relation between the efficiency scores obtained from the stochastic two stage network DEA-ratio considering three different strategies involving black box, free-link and fix-link. The authors applied their proposed approach to 11 airlines in Iran.

In most of the scenarios, when alpha in particular takes any value between 0.1 and 0.4, three models from Charnes, Cooper, and Rhodes (1978), free-link and fix-link generate similar efficiency scores for the decision-making units (DMUs), While a relatively higher degree of variations in efficiency scores among the DMUs is generated when the alpha takes the value of 0.5. Comparing the results when the alpha takes the value of 0.1–0.4, the DMUs have the same ranking in terms of their efficiency scores.

The authors innovatively propose a deterministic linear programming model, and to the best of the authors’ knowledge, for the first time, the internal relationships of a two-stage network are analyzed by different techniques. The comparison of the results would be able to provide insights from both the policy perspective as well as the methodological perspective.

The executive stock option (ESO) valuation model developed in this research amends the popular exchange traded option pricing models such as Black and Scholes (1973), Whaley (1981), and Cox, Ross, and Rubinstein (1979) to include economic features of the ESO contract that previously have been ignored. One of these features is the non‐transferability of the ESO, which creates a situation where the ESO might be exercised when an otherwise identical exchange traded option would not. Another feature is the hybrid nature of the ESO; it is not solely either an American option or a European option. The results of the comparative statics indicate that the impact of the non‐transferability of the ESO value is significant, whereas the hybrid feature of the ESO results in values that are very similar to American option values. The economic implication is that if an American or European option model is used to value ESO's, the probability is very high that a wealth transfer between management and shareholders will occur.