Operational asymptotic stochastic dominance
| Autor: | Jr-Yan Wang, Larry Y. Tzeng, Lin Zhao, Rachel J. Huang |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
050210 logistics & transportation
021103 operations research Information Systems and Management General Computer Science Distribution (number theory) Utility theory 05 social sciences 0211 other engineering and technologies Stochastic dominance 02 engineering and technology Management Science and Operations Research Investment (macroeconomics) Industrial and Manufacturing Engineering Ranking Modeling and Simulation 0502 economics and business Log-normal distribution Econometrics Mathematics |
| Zdroj: | European Journal of Operational Research. 280:312-322 |
| ISSN: | 0377-2217 |
| DOI: | 10.1016/j.ejor.2019.06.052 |
| Popis: | Levy (2016) proposes asymptotic first-degree stochastic dominance as a distribution ranking criterion for all non-satiable decision makers with infinite investment horizons. Given Levy’s setting, this paper defines and offers the equivalent distributional conditions for asymptotic second-degree stochastic dominance, as well as operational asymptotic first- and second-degree stochastic dominance. Interestingly, the operational asymptotic stochastic dominance provides a full rank over assets with lognormal returns and different means. Empirical applications show that our conditions can be readily implemented in practice. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect