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Advancements in stochastic dominance efficiency tests

Markku Kallio and Nasim Dehghan Hardoroudi

European Journal of Operational Research, 2019, vol. 276, issue 2, 790-794

Abstract: We present new results for fourth and fifth order stochastic dominance (FOSD and FISD, respectively) circumventing shortcomings in Post and Kopa (2013) and Fang and Post (2017).

Keywords: Stochastic dominance efficiency; Nth order stochastic dominance; Portfolio efficiency (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:ejores:v:276:y:2019:i:2:p:790-794