| Tekijä: | Aboudi, R. Thon, D. |
| Otsikko: | Efficient algorithms for stochastic dominance tests based on financial market data |
| Lehti: | Management Science
1994 : APR, VOL. 40:4, p. 508-515 |
| Asiasana: | FINANCIAL MARKETS MANAGEMENT SCIENCE TESTS |
| Kieli: | eng |
| Tiivistelmä: | 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. Tests for first-, second-, and third-degree stochastic dominance using financial market data have been performed since the early seventies. |
SCIMA