Publication:
Moment conditions for almost stochastic dominance

Placeholder

Departments

School / College / Institute

Organizational Unit
GRADUATE SCHOOL OF BUSINESS
Upper Org Unit

Program

KU Authors

Co-Authors

Guo, Xu
Wong, Wing-Keung
Zhu, Lixing

Publication Date

Language

Embargo Status

Journal Title

Journal ISSN

Volume Title

Alternative Title

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.

Source

Publisher

Elsevier

Subject

Economics

Citation

Has Part

Source

Economics Letters

Book Series Title

Edition

DOI

10.1016/j.econlet.2014.04.025

item.page.datauri

Link

Rights

Copyrights Note

Endorsement

Review

Supplemented By

Referenced By

0

Views

0

Downloads

View PlumX Details