A stochastic dominance comparison of truncated normal distributions

DOI10.1016/0377-2217(93)90066-VzbMath0771.90003MaRDI QIDQ2367370

William E. Stein, Philip J. Mizzi, Roger C. Pfaffenberger

Publication date: 23 August 1993

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

financeinvestmentsfirst and second order stochastic dominance rules

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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Improvements in the power of empirical stochastic dominance comparisons through kernel density estimation: a monte carlo study

Cites Work

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• Estimation of error probabilities in stochastic dominance
• Sample vs. Population Mean-Variance Efficient Portfolios
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• Investment Decision Rules, Diversification, and the Investors's Initial Wealth