✦ LIBER ✦
Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance
✍ Scribed by Daniel Fischmar; Carl Peters
- Publisher
- John Wiley and Sons
- Year
- 1991
- Tongue
- English
- Weight
- 653 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Second degree stochastic dominance has been proposed also as a criterion (Levy and Sarnet, 1972). It is defined by Z,F,(r) = Z,Fo(r) far all r , with the strict inequality holding for at least one value of return, r. This report uses first degree dominance since first degree dominance implies second degree (Hadar and Rgssell, 1969).