A note on almost stochastic dominance

Xu Guo; Xuehu Zhu; Wing Keung Wong; Lixing Zhu

doi:10.1016/j.econlet.2013.08.020

A note on almost stochastic dominance

Xu Guo, Xuehu Zhu, Wing Keung Wong, Lixing Zhu

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Abstract

Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

Original language	English (US)
Pages (from-to)	252-256
Number of pages	5
Journal	Economics Letters
Volume	121
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2013.08.020
State	Published - Nov 2013

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2013.08.020

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title = "A note on almost stochastic dominance",

abstract = "Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.",

author = "Xu Guo and Xuehu Zhu and Wong, {Wing Keung} and Lixing Zhu",

note = "Funding Information: The authors are grateful to the Editor, Professor Roberto Serrano, and an anonymous referee for substantive comments that have significantly improved this manuscript. This research is partially supported by grants from the Hong Kong Baptist University and the Research Grants Council of Hong Kong . ",

year = "2013",

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AU - Wong, Wing Keung

AU - Zhu, Lixing

N1 - Funding Information: The authors are grateful to the Editor, Professor Roberto Serrano, and an anonymous referee for substantive comments that have significantly improved this manuscript. This research is partially supported by grants from the Hong Kong Baptist University and the Research Grants Council of Hong Kong .

PY - 2013/11

Y1 - 2013/11

N2 - Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

AB - Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng etal. (2013) modified it to give another definition. This note provides more information on the two definitions. The former has the hierarchy property but not the expected-utility maximization, whereas the latter has the expected-utility maximization but not the hierarchy property.

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JO - Economics Letters

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A note on almost stochastic dominance

Abstract

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