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Metrization Of Stochastic Dominance Rules

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    (EDHEC Business School, EDHEC-Risk Institute–Asia, 1 George Street #07-02, Singapore 049145, Singapore)



    (Department of Applied Mathematics and Statistics, Stony Brook University, Heavy Engineering S250, Stony Brook, NY 11794-3600, USA; Karlsruhe Institute of Technology, Germany; FinAnalytica, USA)



    (EDHEC Business School, 393, Promenade des Anglais BP3116, 0602-Nice, Cedex 3, France)

We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.

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Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 15 (2012)
Issue (Month): 02 ()
Pages: 1-22

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Handle: RePEc:wsi:ijtafx:v:15:y:2012:i:02:p:1250017-1-1250017-22
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