IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v280y2020i1p312-322.html
   My bibliography  Save this article

Operational asymptotic stochastic dominance

Author

Listed:
  • Huang, Rachel J.
  • Tzeng, Larry
  • Wang, Jr-Yan
  • Zhao, Lin

Abstract

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.

Suggested Citation

  • Huang, Rachel J. & Tzeng, Larry & Wang, Jr-Yan & Zhao, Lin, 2020. "Operational asymptotic stochastic dominance," European Journal of Operational Research, Elsevier, vol. 280(1), pages 312-322.
    • Handle: RePEc:eee:ejores:v:280:y:2020:i:1:p:312-322
    DOI: 10.1016/j.ejor.2019.06.052
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377221719305454
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ejor.2019.06.052?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Levy, Moshe, 2022. "An inter-temporal CAPM based on First order Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 298(2), pages 734-739.
    2. Haim Levy, 2020. "Aging Population, Retirement, and Risk Taking: Reply," Management Science, INFORMS, vol. 66(6), pages 2796-2799, June.
    3. Liesiö, Juuso & Xu, Peng & Kuosmanen, Timo, 2020. "Portfolio diversification based on stochastic dominance under incomplete probability information," European Journal of Operational Research, Elsevier, vol. 286(2), pages 755-768.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:280:y:2020:i:1:p:312-322. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.