Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 7-Day Trial for You or Your Team.

Learn More →

A Parametric Approach to Stochastic Dominance: The Lognormal Case

A Parametric Approach to Stochastic Dominance: The Lognormal Case Mixing the risky asset with the riskless asset. Levy and Kroll have developed stochastic dominance rules with borrowing and lending (SDR). These rules can be easily applied to discrete distributions (e.g., ex-post data). However, an infinite number of comparisons is involved when the distributions under consideration are continuous. This study suggests a method for applying the SDR criteria to continuous distributions where, in general, a small number of comparisons is involved. For some distributions (e.g., lognormal) the SDR relationship is stated in terms of the distributions' parameters, and hence only one comparison is required. These SDR relationships enable us to establish the lognormal efficient frontier. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Management Science INFORMS

A Parametric Approach to Stochastic Dominance: The Lognormal Case

Kroll, Yoram; Levy, Haim
Management Science , Volume 32 (3): 6 – Mar 1, 1986
Download PDF
7 pages

Loading next page...
 
/lp/informs/a-parametric-approach-to-stochastic-dominance-the-lognormal-case-I59VzD3Aqr

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
INFORMS
Copyright
Copyright © INFORMS
Subject
Research Article
ISSN
0025-1909
eISSN
1526-5501
DOI
10.1287/mnsc.32.3.283
Publisher site
See Article on Publisher Site

Abstract

Mixing the risky asset with the riskless asset. Levy and Kroll have developed stochastic dominance rules with borrowing and lending (SDR). These rules can be easily applied to discrete distributions (e.g., ex-post data). However, an infinite number of comparisons is involved when the distributions under consideration are continuous. This study suggests a method for applying the SDR criteria to continuous distributions where, in general, a small number of comparisons is involved. For some distributions (e.g., lognormal) the SDR relationship is stated in terms of the distributions' parameters, and hence only one comparison is required. These SDR relationships enable us to establish the lognormal efficient frontier.

Journal

Management Science – INFORMS

Published: Mar 1, 1986

Keywords: Keywords : stochastic dominance ; lognormal

There are no references for this article.