Generalized Stochastic Dominance: An Empirical Examination
Use of generalized stochastic dominance (GSD) requires one to place lower and upper bounds on the risk aversion coefficient. This study showed that breakeven risk aversion coefficients found assuming the exponential utility function delineate the places where GSD preferences switch between prospects. However, between these break points, multiple, overlapping GSD intervals can be found. Consequently, when one does not have risk aversion coefficient information, discovery of breakeven coefficients instead of GSD use is recommended. The investigation also showed GSD results are insensitive to wealth and data scaling but are sensitive to rounding.
Volume (Year): 22 (1990)
Issue (Month): 02 (December)
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- McCarl, Bruce A., 1988.
"Preference Among Risky Prospects Under Constant Risk Aversion,"
Journal of Agricultural and Applied Economics,
Cambridge University Press, vol. 20(02), pages 25-34, December.
- McCarl, Bruce A., 1988. "Preference Among Risky Prospects Under Constant Risk Aversion," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(02), December.
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