Efficient algorithms for stochastic dominance tests based on financial market data

Ronny Aboudi; Dominique Thon

doi:10.1287/mnsc.40.4.508

Efficient algorithms for stochastic dominance tests based on financial market data

Ronny Aboudi, Dominique Thon

Management Science

Research output: Contribution to journal › Article › peer-review

15 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 language	English (US)
Pages (from-to)	508-515
Number of pages	8
Journal	Management science
Volume	40
Issue number	4
DOIs	https://doi.org/10.1287/mnsc.40.4.508
State	Published - Jan 1 1994

ASJC Scopus subject areas

Strategy and Management
Management Science and Operations Research

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