Moment conditions for Almost Stochastic Dominance

Xu Guo, Thierry Post, Wing Keung Wong, Lixing Zhu

Research output: Contribution to journalArticle

9 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)163-167
Number of pages5
JournalEconomics Letters
Volume124
Issue number2
DOIs
Publication statusPublished - 2014
Externally publishedYes

Fingerprint

Moment conditions
Stochastic dominance
Critical value
Violations
Information requirements
Market data
Stock market
Probability distribution
Burden

Keywords

  • Decision theory
  • Moments
  • Necessary conditions
  • Stochastic dominance
  • Utility theory

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Moment conditions for Almost Stochastic Dominance. / Guo, Xu; Post, Thierry; Wong, Wing Keung; Zhu, Lixing.

In: Economics Letters, Vol. 124, No. 2, 2014, p. 163-167.

Research output: Contribution to journalArticle

Guo, Xu ; Post, Thierry ; Wong, Wing Keung ; Zhu, Lixing. / Moment conditions for Almost Stochastic Dominance. In: Economics Letters. 2014 ; Vol. 124, No. 2. pp. 163-167.
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