Multivalued Stochastic Dominance to Determine the Efficient Set of Assets: Evidence from the Warsow Stock Market

G. Trzpiot

Working Papers from Laval - Faculte des sciences de administration

Abstract: While stochastic dominance has been employed in various forms, it has been (since 1969-1970) developed and extensively employed in the area of economics, finance and operations research. In this study the first, second and third order stochastic dominance rules are discussed for ranking alternatives under ambiguity with an emphasis on the development in the area of financial issues. This study used stochastic dominance tests for ranking alternatives under ambiguity, to build an optimal portfolio for a different class of investors in the Warsaw Stock Exchange.

Keywords: FINANCIAL MARKET; ECONOMIC MODELS; STOCHASTIC MODELS (search for similar items in EconPapers)
JEL-codes: C51 C52 G10 G11 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:lavadm:98-004

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