METRIZATION OF STOCHASTIC DOMINANCE RULES

We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.

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Year of publication:	2012
Authors:	STOYANOV, STOYAN V. ; RACHEV, SVETLOZAR T. ; FABOZZI, FRANK J.
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 02, p. 1250017-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Stochastic dominance \| quasi-semimetrics \| almost stochastic orders \| average value-at-risk

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010540275