Advancements in stochastic dominance efficiency tests

Markku Kallio, Nasim Dehghan Hardoroudi*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

4 Citations (Scopus)
6 Downloads (Pure)

Abstract

We present new results for fourth and fifth order stochastic dominance (FOSD and FISD, respectively) circumventing shortcomings in Post and Kopa (2013) and Fang and Post (2017).

Original languageEnglish
Pages (from-to)790-794
Number of pages5
JournalEuropean Journal of Operational Research
Volume276
Issue number2
Early online date2019
DOIs
Publication statusPublished - 16 Jul 2019
MoE publication typeA1 Journal article-refereed

Keywords

  • Nth order stochastic dominance
  • Portfolio efficiency
  • Stochastic dominance efficiency

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