General linear formulations of stochastic dominance criteria

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159489" target="_blank" >RIV/00216208:11320/13:10159489 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ejor.2013.04.015" target="_blank" >http://dx.doi.org/10.1016/j.ejor.2013.04.015</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ejor.2013.04.015" target="_blank" >10.1016/j.ejor.2013.04.015</a>

Result language
angličtina
Original language name
General linear formulations of stochastic dominance criteria
Original language description
We develop and implement linear formulations of general Nth order stochastic dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implementedby solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean-variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial viola
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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