Efficient algorithms for stochastic dominance tests based on financial market data

Ronny Aboudi, Dominique Thon

Research output: Contribution to journalArticle

13 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)508-515
Number of pages8
JournalManagement science
Volume40
Issue number4
DOIs
StatePublished - Jan 1 1994

ASJC Scopus subject areas

  • Strategy and Management
  • Management Science and Operations Research

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