Metrization of stochastic dominance rules

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


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.

Original languageEnglish
Article number1250017
JournalInternational Journal of Theoretical and Applied Finance
Issue number2
StatePublished - Mar 2012


  • Stochastic dominance
  • almost stochastic orders
  • average value-at-risk
  • quasi-semimetrics


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