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Moment Conditions for Almost Stochastic Dominance

Xu Guo (), Thierry Post, Wing-Keung Wong () and Lixing Zhu

MPRA Paper from University Library of Munich, Germany

Abstract: This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.

Keywords: decision theory; utility theory; stochastic dominance; necessary conditions; moments. (search for similar items in EconPapers)
JEL-codes: C00 D81 G11 (search for similar items in EconPapers)
Date: 2013-11-26
New Economics Papers: this item is included in nep-ore and nep-upt
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Related works:
Journal Article: Moment conditions for Almost Stochastic Dominance (2014) Downloads
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