TY - JOUR
T1 - Metrization of stochastic dominance rules
AU - Stoyanov, Stoyan V.
AU - Rachev, Svetlozar T.
AU - Fabozzi, Frank J.
PY - 2012/3
Y1 - 2012/3
N2 - We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.
AB - We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.
KW - Stochastic dominance
KW - almost stochastic orders
KW - average value-at-risk
KW - quasi-semimetrics
UR - http://www.scopus.com/inward/record.url?scp=84859535721&partnerID=8YFLogxK
U2 - 10.1142/S0219024912500173
DO - 10.1142/S0219024912500173
M3 - Article
AN - SCOPUS:84859535721
SN - 0219-0249
VL - 15
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
IS - 2
M1 - 1250017
ER -