Multicriterion Analysis Based on Marginal Conditional Stochastic Dominance in Financial Analysis

Trzpiot, Grażyna

doi:10.1007/978-3-7908-1812-3_31

Cited by 1 publication

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References 9 publications

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“…The three stochastic dominance criteria, FSD, SSD and TSD, are optimal in the sense that given the assumptions regarding the investors preferences (describing as a class of utility functions), the application of the corresponding stochastic dominance criterion ensures a minimal efficient set of investment alternatives. For application of stochastic dominance see Bradley and Lehmann (1988), Levy (1992Levy ( , 1996, Ogryczak and Ruszczyski (1999), Trzpiot (1998, 2002, 2003.…”

Section: Stochastic Dominance Rules In Portfolio Selectionmentioning

confidence: 99%

Partial Moments and Negative Moments in Ordering Asymmetric Distributions

Trzpiot

Studies in Classification, Data Analysis, and Knowledge Organization

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A b s t r a c t . Moment ordering condition is shown to be necessary for stochastic dominance. In this paper related results of the partial moments and negative moments are presented. The condition for any degree of stochastic dominance, by ordering fractional and negative moments of the distribution, will be shown. We present the sufficient condition for restricted families of distribution functions -a class of asymmetric distributions. Additionally we present a related general measure based on fractional moments, which can be used for complete ordering the set of distributions. The condition applies generally, subject only to the requirement that the moments exist. The result rests on the fact that the negative and the fractional moments of the distribution can be interpreted as constant relative risk aversion utility function.

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Section: Stochastic Dominance Rules In Portfolio Selectionmentioning

confidence: 99%

Partial Moments and Negative Moments in Ordering Asymmetric Distributions

Trzpiot

Studies in Classification, Data Analysis, and Knowledge Organization

Self Cite

View full text Add to dashboard Cite

show abstract

Multicriterion Analysis Based on Marginal Conditional Stochastic Dominance in Financial Analysis

Cited by 1 publication

References 9 publications

Partial Moments and Negative Moments in Ordering Asymmetric Distributions

Partial Moments and Negative Moments in Ordering Asymmetric Distributions

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