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Necessary conditions for stochastic dominance: A general approach

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  • William H. Jean
  • Billy P. Helms

Abstract

In this paper a general method for developing necessary conditions for all degrees of stochastic dominance is derived. The method, a minimization of the expected value of certain functions of the random variable, is used to rederive known necessary conditions for dominance and is then used to derive new necessary conditions. Some of the old and new conditions are then compared empirically using a data set of security returns.

Suggested Citation

  • William H. Jean & Billy P. Helms, 1988. "Necessary conditions for stochastic dominance: A general approach," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 4(2), pages 89-99, June.
    • Handle: RePEc:wly:apsmda:v:4:y:1988:i:2:p:89-99
    DOI: 10.1002/asm.3150040204
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    Cited by:

    1. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.

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