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...

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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
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container_end_page 1-1250017-22
container_issue 2
container_start_page 1250017
container_title International Journal of Theoretical and Applied Finance (IJTAF)
container_volume 15
creator STOYANOV, STOYAN V.
RACHEV, SVETLOZAR T.
FABOZZI, FRANK J.
description 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.
doi_str_mv 10.1142/S0219024912500173
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source World Scientific Journals (Tsinghua Mirror); RePEc; World Scientific Journals
subjects almost stochastic orders
Applied economics
average value-at-risk
Benchmarking
Mathematical finance
Metrization
Portfolio selection
quasi-semimetrics
Risk theory
Stochastic dominance
Stochastic processes
title METRIZATION OF STOCHASTIC DOMINANCE RULES
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