Guo, Xu and Zhu, Xuehu and Wong, WingKeung and Zhu, Lixing (2013): A Note on Almost Stochastic Dominance.

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Abstract
To satisfy the property of expectedutility maximization, Tzeng et al. (2012) modify the almost seconddegree stochastic dominance proposed by Leshno and Levy (2002) and define almost higherdegree stochastic dominance. In this note, we further investigate the relevant properties. We define an almost thirddegree stochastic dominance in the same way that Leshno and Levy (2002) define seconddegree stochastic dominance and show that Leshno and Levy's (2002) almost stochastic dominance has the hierarchy property but not expectedutility maximization. In contrast, Tzeng et al.'s (2012) definition has the property of expectedutility maximization but not the hierarchy property. This phenomenon also holds for higherdegree stochastic dominance for these two concepts. Thus, the findings in this paper suggest that Leshno and Levy's (2002) definitions of ASSD and ATSD might be better than those defined by Tzeng et al. (2012) if the hierarchy property is considered to be an important issue.
Item Type:  MPRA Paper 

Original Title:  A Note on Almost Stochastic Dominance 
English Title:  A Note on Almost Stochastic Dominance 
Language:  English 
Keywords:  Almost stochastic dominance; expectedutility maximization; hierarchy of stochastic dominance 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions 
Item ID:  44365 
Depositing User:  WingKeung Wong 
Date Deposited:  14 Feb 2013 08:47 
Last Modified:  27 Sep 2019 00:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/44365 