Guo, Xu and Wong, WingKeung and Zhu, Lixing (2013): Make Almost Stochastic Dominance really Almost.

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Abstract
Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance, skewness, or kurtosis. Investors may prefer to conclude ASD only if the dominance is nearly almost. Levy, et al. (2010) have provided two approaches to solve the problem. In this paper, we extend their work by first recommending an existing stochastic dominance test to handle the issue and thereafter developing a new test for the ASD which could detect dominance for any predetermined small value. We also provide two approaches to obtain the critical values for our proposed test.
Item Type:  MPRA Paper 

Original Title:  Make Almost Stochastic Dominance really Almost 
Language:  English 
Keywords:  stochastic dominance; almost stochastic dominance; risk aversion, stochastic dominance test, almost stochastic dominance test 
Subjects:  C  Mathematical and Quantitative Methods > C0  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D80  General G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions 
Item ID:  49745 
Depositing User:  WingKeung Wong 
Date Deposited:  11 Sep 2013 11:47 
Last Modified:  28 Sep 2019 18:48 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/49745 