Consistent Tests for Almost Stochastic Dominance

11 Pages Posted: 10 Apr 2015 Last revised: 11 Apr 2015

See all articles by Xu Guo

Xu Guo

Hong Kong Baptist University (HKBU) - Department of Mathematics; Nanjing University of Aeronautics and Astronautics

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration; Fordham University

Wing-Keung Wong

Asia University, Department of Finance

Date Written: April 11, 2015

Abstract

Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now. In this paper, we aim to develop consistent test statistics for the first three order of ASD. Two numerical approaches are proposed to determine the critical values.

Keywords: stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics

JEL Classification: C0, C12, D81, G11

Suggested Citation

Guo, Xu and Levy, Haim and Wong, Wing-Keung, Consistent Tests for Almost Stochastic Dominance (April 11, 2015). Available at SSRN: https://ssrn.com/abstract=2592205 or http://dx.doi.org/10.2139/ssrn.2592205

Xu Guo

Hong Kong Baptist University (HKBU) - Department of Mathematics ( email )

Kowloon Tong
Hong Kong
Hong Kong

Nanjing University of Aeronautics and Astronautics

Yudao Street
210016
Nanjing,, 210016
China

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel

HOME PAGE: http://pluto.huji.ac.il/~mshlevy/

Fordham University ( email )

140 West 62nd Street
New York, NY 10023
United States

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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