Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data

It is known that when the random variables being compared have a uniform probability measure, as is the case when using financial market data, the computation of efficient sets for first- and second-degree dominance can be greatly simplified if majorization conditions are used instead of the dominance definitions. This paper presents an equally efficient technique for third-degree dominance.

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Year of publication:	1994
Authors:	Aboudi, Ronny ; Thon, Dominique
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 40.1994, 4, p. 508-515
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	stochastic dominance \| efficient set

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.40.4.508 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009209228