METRIZATION OF STOCHASTIC DOMINANCE RULES

METRIZATION OF STOCHASTIC DOMINANCE RULES

We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:International Journal of Theoretical and Applied Finance (IJTAF) 2012-03, Vol.15 (2), p.1250017-1-1250017-22
Hauptverfasser: STOYANOV, STOYAN V., RACHEV, SVETLOZAR T., FABOZZI, FRANK J.
Format: Artikel
Sprache:eng
Schlagworte:
almost stochastic orders
Applied economics
average value-at-risk
Benchmarking
Mathematical finance
Metrization
Portfolio selection
quasi-semimetrics
Risk theory
Stochastic dominance
Stochastic processes
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.
ISSN:0219-0249
1793-6322
1793-6322
DOI:10.1142/S0219024912500173