Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness

Day-of-the-week effect in the Taiwan foreign exchange market

“…The empirical study uses a version of the stochastic dominance algorithm introduced and developed by Levy and Kroll (1979), Levy and Sarnat (1985) or Levy (1992). That is, the FSD, SSD, FSDR and SSDR criteria are employed to test the day-of-the-week effect.…”

Almost Stochastic Dominance and stocks for the long run

“…It is obvious that any ''reasonable" investor would prefer prospect F. However, technically there is no Firstdegree Stochastic Dominance (FSD) of F over G, because the cumulative distributions cross. Another way to present 3 See, for example, Joy and Porter (1974), Vickson and Altman (1977), Meyer (1977), Levy and Kroll (1979), Tehranian (1980), Bawa et al (1985), and Shalit and Yitzhaki (1994). See Levy (2006) for a comprehensive review.…”

Out of sample effectiveness of a joint commodity and currency hedge: The case of soybean meal in Italy

“…Stochastic dominance (SD) is used to rank the different strategies on the basis of the weekly or monthly out of sample returns of the hedged portfolio between January 1981 and October 1988. The SD algorithm used is that described by Levy and Lerman (1985) and Levy and Kroll (1979).…”