Operational asymptotic stochastic dominance

Rachel Huang (), Larry Tzeng, -Yan Wang and Lin Zhao

European Journal of Operational Research, 2020, vol. 280, issue 1, 312-322

Abstract: Levy (2016) proposes asymptotic first-degree stochastic dominance as a distribution ranking criterion for all non-satiable decision makers with infinite investment horizons. Given Levy’s setting, this paper defines and offers the equivalent distributional conditions for asymptotic second-degree stochastic dominance, as well as operational asymptotic first- and second-degree stochastic dominance. Interestingly, the operational asymptotic stochastic dominance provides a full rank over assets with lognormal returns and different means. Empirical applications show that our conditions can be readily implemented in practice.

Keywords: Utility theory; Asymptotic stochastic dominance; Operational asymptotic stochastic dominance; Almost stochastic dominance; Long-run investment (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:280:y:2020:i:1:p:312-322

DOI: 10.1016/j.ejor.2019.06.052

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