IDEAS home Printed from https://ideas.repec.org/a/wly/apsmda/v4y1988i2p89-99.html
   My bibliography  Save this article

Necessary conditions for stochastic dominance: A general approach

Author

Listed:
  • William H. Jean
  • Billy P. Helms

Abstract

In this paper a general method for developing necessary conditions for all degrees of stochastic dominance is derived. The method, a minimization of the expected value of certain functions of the random variable, is used to rederive known necessary conditions for dominance and is then used to derive new necessary conditions. Some of the old and new conditions are then compared empirically using a data set of security returns.

Suggested Citation

  • William H. Jean & Billy P. Helms, 1988. "Necessary conditions for stochastic dominance: A general approach," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 4(2), pages 89-99, June.
  • Handle: RePEc:wly:apsmda:v:4:y:1988:i:2:p:89-99
    DOI: 10.1002/asm.3150040204
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asm.3150040204
    Download Restriction: no

    File URL: https://libkey.io/10.1002/asm.3150040204?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmda:v:4:y:1988:i:2:p:89-99. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1099-0747 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.