Multivariate Stochastic Dominance: A Parametric Approach

Noureddine Kouaissah () and Sergio Ortobelli lozza ()
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Noureddine Kouaissah: International University of Rabat, RBS College of Management, BEARLab
Sergio Ortobelli lozza: University of Bergamo, Department of MEQM

Economics Bulletin, 2020, vol. 40, issue 2, 1380-1387

Abstract: This paper proposes parameterized multivariate stochastic dominance (PMSD) rules under different distributional assumptions for a class of non-satiable risk-seeking investors. In particular, it determines the PMSD rules for both stable symmetric and Student's t distributions. Methodologically, the PMSD rules for ordering are based on comparison of i) location parameters, ii) dispersion parameters, and iii) either stability indices or degrees of freedom. In addition, it presents the main steps for evaluating such rules. This paper confirms that return tail behavior plays a crucial role in determining non-satiable investors' optimal choices.

Keywords: stochastic dominance; investor preferences; elliptical distributions; financial benchmarks. (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2020-05-19
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Citations: View citations in EconPapers (2)

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