A Remark on Third Degree Stochastic Dominance
AbstractThis note presents two counterexamples to illustrate that neither implication of Theorem 4 in Levy (1992) is correct.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 46 (2000)
Issue (Month): 6 (June)
third degree stochastic dominance;
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- Wong, Wing-Keung, 2007.
"Stochastic dominance and mean-variance measures of profit and loss for business planning and investment,"
European Journal of Operational Research,
Elsevier, vol. 182(2), pages 829-843, October.
- Wing-Keung Wong, 2007. "Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment," Finance Working Papers 21922, East Asian Bureau of Economic Research.
- Wing-Keung Wong, 2007. "Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment," SCAPE Policy Research Working Paper Series 0705, National University of Singapore, Department of Economics, SCAPE.
- Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 42676, University Library of Munich, Germany.
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