An algorithm for nth degree stochastic dominance

Billy P. Helms, William H. Jean and Hassan Tehranian

Applied Stochastic Models and Data Analysis, 1986, vol. 2, issue 1‐2, 71-81

Abstract: An algorithm for nth degree stochastic dominance is developed using necessary conditions derived by Whitmore, Jean and Jean and Helms to reduce the computation time. The algorithm is presented and tested to determine run times for large sets of portfolios. The algorithm is fast enough computationally to be useful for both research projects and practical applications.

Date: 1986
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https://doi.org/10.1002/asm.3150020107

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:2:y:1986:i:1-2:p:71-81

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