Estimation of error probabilities in stochastic dominance

DOI10.1080/00949658608810929zbMath0658.62027OpenAlexW2146048820MaRDI QIDQ3806561

Roger C. Pfaffenberger, William E. Stein

Publication date: 1986

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658608810929

zbMATH Keywords

simulation resultslognormal distributionsstochastic dominanceutility theorynormal distributionssampling errorKolmogorov- Smirnov testestimation of error probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Improvements in the power of empirical stochastic dominance comparisons through kernel density estimation: a monte carlo study ⋮ A stochastic dominance comparison of truncated normal distributions

Cites Work

• Unnamed Item
• Sample vs. Population Mean-Variance Efficient Portfolios
• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Investment Decision Rules, Diversification, and the Investors's Initial Wealth
• Stochastic Dominance among Log-Normal Prospects

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