GENERALIZED STOCHASTIC DOMINANCE: AN EMPIRICAL EXAMINATION

Bruce McCarl

Southern Journal of Agricultural Economics, 1990, vol. 22, issue 01, 7

Abstract: Use of generalized stochastic dominance (GSD) requires one to place lower and upper bounds on the risk aversion coefficient. This study showed that breakeven risk aversion coefficients found assuming the exponential utility function delineate the places where GSD preferences switch between prospects. However, between these break points, multiple, overlapping GSD intervals can be found. Consequently, when one does not have risk aversion coefficient information, discovery of breakeven coefficients instead of GSD use is recommended. The investigation also showed GSD results are insensitive to wealth and data scaling but are sensitive to rounding.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (18)

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Journal Article: Generalized Stochastic Dominance: An Empirical Examination (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:sojoae:30005

DOI: 10.22004/ag.econ.30005

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