Metrization Of Stochastic Dominance Rules
AbstractWe 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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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 15 (2012)
Issue (Month): 02 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- Takashi Kamihigashi & John Stachurski, 2014.
"Partial Stochastic Dominance,"
Discussion Paper Series
DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
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