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A Remark on Third Degree Stochastic Dominance

  • Man-Chung Ng

    ()

    (Institute of Economics, Academia Sinica, Taipei 11529, Taiwan, R.O.C.)

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    This note presents two counterexamples to illustrate that neither implication of Theorem 4 in Levy (1992) is correct.

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    File URL: http://dx.doi.org/10.1287/mnsc.46.6.870.11934
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    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 46 (2000)
    Issue (Month): 6 (June)
    Pages: 870-873

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    Handle: RePEc:inm:ormnsc:v:46:y:2000:i:6:p:870-873
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    1. 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.
    2. 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.
    3. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    4. 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.
    5. Yoram Kroll & Haim Levy, 1986. "A Parametric Approach to Stochastic Dominance: The Lognormal Case," Management Science, INFORMS, vol. 32(3), pages 283-288, March.
    6. 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.
    7. 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.
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