Publication: Moment conditions for almost stochastic dominance
Program
KU-Authors
KU Authors
Co-Authors
Guo, Xu
Wong, Wing-Keung
Zhu, Lixing
Publication Date
Language
Type
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