Consistent Tests for Almost Stochastic Dominance

2015 ◽  
Author(s):  
Xu Guo ◽  
Haim Levy ◽  
Wing-Keung Wong
Keyword(s):  
Stochastic Dominance ◽  
Almost Stochastic Dominance ◽  
Consistent Tests

scholarly journals The concept of stochastic dominance in ranking investment alternatives

2005 ◽  
Vol 50 (164) ◽  
pp. 135-149
Author(s):  
Dejan Trifunovic
Keyword(s):  
Stochastic Dominance ◽  
Distribution Functions ◽  
Third Order ◽  
Ranking Problem ◽  
First Order ◽  
Order Stochastic Dominance ◽  
Arbitrage Opportunities ◽  
Second Order Stochastic Dominance ◽  
Mean Variance ◽  
Almost Stochastic Dominance

In order to rank investments under uncertainty, the most widely used method is mean variance analysis. Stochastic dominance is an alternative concept which ranks investments by using the whole distribution function. There exist three models: first-order stochastic dominance is used when the distribution functions do not intersect, second-order stochastic dominance is applied to situations where the distribution functions intersect only once, while third-order stochastic dominance solves the ranking problem in the case of double intersection. Almost stochastic dominance is a special model. Finally we show that the existence of arbitrage opportunities implies the existence of stochastic dominance, while the reverse does not hold.

scholarly journals Bivariate almost stochastic dominance

2014 ◽  
Vol 57 (2) ◽  
pp. 377-405 ◽  
Author(s):  
Michel M. Denuit ◽  
Rachel J. Huang ◽  
Larry Y. Tzeng
Keyword(s):  
Stochastic Dominance ◽  
Almost Stochastic Dominance

scholarly journals A note on almost stochastic dominance

2013 ◽  
Vol 121 (2) ◽  
pp. 252-256 ◽  
Author(s):  
Xu Guo ◽  
Xuehu Zhu ◽  
Wing-Keung Wong ◽  
Lixing Zhu
Keyword(s):  
Stochastic Dominance ◽  
Almost Stochastic Dominance

Generalized Almost Stochastic Dominance

2015 ◽  
Vol 63 (2) ◽  
pp. 363-377 ◽  
Author(s):  
Ilia Tsetlin ◽  
Robert L. Winkler ◽  
Rachel J. Huang ◽  
Larry Y. Tzeng
Keyword(s):  
Stochastic Dominance ◽  
Almost Stochastic Dominance
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