Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data

Ronny Aboudi and Dominique Thon
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Ronny Aboudi: Department of Management Science, University of Miami, P.O.B. 248237, Coral Gables, Florida 33124-8237
Dominique Thon: Bodø Graduate School of Business, P.O.B. 6003, N-8002 Bodø, Norway

Management Science, 1994, vol. 40, issue 4, 508-515

Abstract: It is known that when the random variables being compared have a uniform probability measure, as is the case when using financial market data, the computation of efficient sets for first- and second-degree dominance can be greatly simplified if majorization conditions are used instead of the dominance definitions. This paper presents an equally efficient technique for third-degree dominance.

Keywords: stochastic dominance; efficient set (search for similar items in EconPapers)
Date: 1994
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