Necessary conditions for stochastic dominance: A general approach

William H. Jean and Billy P. Helms

Applied Stochastic Models and Data Analysis, 1988, vol. 4, issue 2, 89-99

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.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:4:y:1988:i:2:p:89-99

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