A Remark on Third Degree Stochastic Dominance
This note presents two counterexamples to illustrate that neither implication of Theorem 4 in Levy (1992) is correct.
Volume (Year): 46 (2000)
Issue (Month): 6 (June)
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- Muliere, Pietro & Scarsini, Marco, 1989.
"A note on stochastic dominance and inequality measures,"
Journal of Economic Theory,
Elsevier, vol. 49(2), pages 314-323, December.
- Marco Scarsini & Pietro Muliere, 1989. "A note on stochastic dominance and inequality measures," Post-Print hal-00542231, HAL.
- Kroll, Yoram & Levy, Haim, 1979. "Stochastic Dominance With a Riskless Asset: An Imperfect Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 179-204, June.
- Levy, Haim & Kroll, Yoram, 1978. "Ordering Uncertain Options with Borrowing and Lending," Journal of Finance, American Finance Association, vol. 33(2), pages 553-74, May.
- Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
- Levy, Haim & Kroll, Yoram, 1979. "Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness," The Review of Economics and Statistics, MIT Press, vol. 61(1), pages 125-30, February.
- Yoram Kroll & Haim Levy, 1986. "A Parametric Approach to Stochastic Dominance: The Lognormal Case," Management Science, INFORMS, vol. 32(3), pages 283-288, March.
- Booth, James R. & Tehranian, Hassan & Trennepohl, Gary L., 1985. "Efficiency Analysis and Option Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 435-450, December.
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