Consistent Tests For Almost Stochastic Dominance
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Author | : Xu Guo |
Publisher | : |
Total Pages | : 11 |
Release | : 2015 |
Genre | : |
ISBN | : |
Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now. In this paper, we aim to develop consistent test statistics for the first three order of ASD. Two numerical approaches are proposed to determine the critical values.
Author | : Xu Guo |
Publisher | : |
Total Pages | : 13 |
Release | : 2013 |
Genre | : |
ISBN | : |
This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.
Author | : Yoon-Jae Whang |
Publisher | : |
Total Pages | : 0 |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : Oliver B. Linton |
Publisher | : |
Total Pages | : 29 |
Release | : 2012 |
Genre | : |
ISBN | : |
We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in moderate sized samples.
Author | : Yoon-Jae Whang |
Publisher | : Cambridge University Press |
Total Pages | : 279 |
Release | : 2019-01-31 |
Genre | : Business & Economics |
ISBN | : 1108690475 |
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
Author | : James Huang |
Publisher | : |
Total Pages | : |
Release | : 2007 |
Genre | : |
ISBN | : |
In this paper we apply the recently developed concept of almost first stochastic dominance to derive option bounds given the prices of any number of concurrently expiring options. Almost first stochastic dominance is adjusted first stochastic dominance which bars extreme utility functions that cause practical paradoxes. We show that the optimal almost first stochastic dominance option bounds are given by piecewise constant pricing kernels. The number of the segments of the optimal piecewise constant pricing kernel depends on the number of observed options. We then use the above model to test almost first stochastic dominance using data from options markets.
Author | : Andrey M. Lizyayev |
Publisher | : Rozenberg Publishers |
Total Pages | : 136 |
Release | : 2010 |
Genre | : |
ISBN | : 9036101875 |
Author | : Susan Herring |
Publisher | : |
Total Pages | : 382 |
Release | : 1992 |
Genre | : Sampling (Statistics) |
ISBN | : |
Author | : Alfred Müller |
Publisher | : |
Total Pages | : |
Release | : 2021 |
Genre | : |
ISBN | : |
Author | : Songsak Sriboonchita |
Publisher | : CRC Press |
Total Pages | : 456 |
Release | : 2009-10-19 |
Genre | : Business & Economics |
ISBN | : 1420082671 |
Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe