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A Remark on Third Degree Stochastic Dominance

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  • Man-Chung Ng

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

Abstract

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

Suggested Citation

  • Man-Chung Ng, 2000. "A Remark on Third Degree Stochastic Dominance," Management Science, INFORMS, vol. 46(6), pages 870-873, June.
    • Handle: RePEc:inm:ormnsc:v:46:y:2000:i:6:p:870-873
    DOI: 10.1287/mnsc.46.6.870.11934
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    References listed on IDEAS

    as
    1. 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(4), pages 435-450, December.
    2. 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 125-130, February.
    3. 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(2), pages 179-204, June.
    4. Yoram Kroll & Haim Levy, 1986. "A Parametric Approach to Stochastic Dominance: The Lognormal Case," Management Science, INFORMS, vol. 32(3), pages 283-288, March.
    5. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    6. Levy, Haim & Kroll, Yoram, 1978. "Ordering Uncertain Options with Borrowing and Lending," Journal of Finance, American Finance Association, vol. 33(2), pages 553-574, May.
    7. 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.
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    Citations

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    Cited by:

    1. Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2023. "Stochastic dominance algorithms with application to mutual fund performance evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 681-698, January.
    2. 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.
    3. Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
    4. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2016. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks," MPRA Paper 75002, University Library of Munich, Germany.
    5. 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.
    6. W. Wong & R. Chan, 2008. "Prospect and Markowitz stochastic dominance," Annals of Finance, Springer, vol. 4(1), pages 105-129, January.

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