Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data

It is known that when the random variables being compared have a uniform probability measure, as is the case when using financial market data, the computation of efficient sets for first- and second-degree dominance can be greatly simplified if majorization conditions are used instead of the dominance definitions. This paper presents an equally efficient technique for third-degree dominance.

• 저널Management Science · 40(4) · 508–515
• 토픽Rough Sets and Fuzzy Logic · Computational Theory and Mathematics
• DOI10.1287/mnsc.40.4.508
• 저자Ronny Aboudi, Dominique Thon