Almost Stochastic Dominance and Moments

Xu Guo, Wing-Keung Wong and Lixing Zhu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper establishes some equivalent relationships for the first three orders of the almost stochastic dominance (ASD). Using these results, we first prove formally that the ASD definition modified by Tzeng et al. (2012) does not possess any hierarchy property. Thereafter, we conclude that when the first three orders of ASD are used in the prospects comparison, investors prefer the one with positive gain, smaller variance and positive skewness. This information, in turn, enables decision makers to determine the ASD relationship among prospects when they know the moments of the prospects.

Keywords: Stochastic dominance; almost stochastic dominance; risk aversion, mean, variance, skewness (search for similar items in EconPapers)
JEL-codes: C0 D81 G11 (search for similar items in EconPapers)
Date: 2013-08-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Almost Stochastic Dominance and Moments (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49205

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