METRIZATION OF STOCHASTIC DOMINANCE RULES

Stoyan V. Stoyanov (), Svetlozar T. Rachev () and Frank Fabozzi ()
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Stoyan V. Stoyanov: EDHEC Business School, EDHEC-Risk Institute–Asia, 1 George Street #07-02, Singapore 049145, Singapore
Svetlozar T. Rachev: Department of Applied Mathematics and Statistics, Stony Brook University, Heavy Engineering S250, Stony Brook, NY 11794-3600, USA;

International Journal of Theoretical and Applied Finance (IJTAF), 2012, vol. 15, issue 02, 1-22

Abstract: 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.

Keywords: Stochastic dominance; quasi-semimetrics; almost stochastic orders; average value-at-risk (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024912500173

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