Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal...

This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that...

Testing for stochastic dominance between distributions is an important issue in the study of asset distribution, income distribution and market efficiency. This paper applies Monte Carlo simulations to examine the size and power of some commonly used stochastic dominance tests when the...

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratio, we develop the mean-variance-ratio statistic to test for the equality of the mean-variance ratios. We prove that our proposed statistic is uniformly most powerful unbiased. In addition, we provide the...

Davidson and Duclos (DD, 2000) develop the stochastic dominance statistics, T_j(x)(j=1,2,3), to test the hypothesis on statistically significant differences between any two cumulative density functions F and G for assets Y and Z, respectively. The DD test compares distributions at only a finite...