We propose nonparametric tests for the null hypothesis of time stochastic dominance. Time dominance makes a partial order different prospects over based on net present value criteria general utility and discount function classes. For example, can be used ranking investment strategies or environmental policies expected future benefits. consider an Lp-type test statistic derive its large sample d...

We consider the problem of constructing mean{risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of stochastic dominance for general distributions. This allows us to show that several models using quantiles and tail characteristics of the distribution are in harmony with the stoch...

This paper compares the performance of the two main portfolio insurance strategies, namely the Option-Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). For this purpose, we use the stochastic dominance approach. We provide several explicit sufficient conditions to get stochastic dominance results. When taking account of specific constraints, we use the con...

While Stochastic Dominance has been employed in various forms as early as 1932, it has been since 1969-1970 developed and extensively employed in the area of economics, finance and operation research. In this study the first, second and third order stochastic dominance rules are discussed for ranking alternatives under ambiguity with an emphasis on the development in the area of financial issue...

Poverty measures are used to measure poverty levels or degrees of poverty in a population. Stochastic dominance refers to a set of relations between distributions. Stochastic dominance orders of poverty measures have been discussed by many authors in the literature. In this paper, definition of stochastic dominance is introduced and used to order poverty measures. Hypotheses testing on stochast...

We consider a new approach towards stochastic dominance rules. It 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 are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of reward lead to linear constraints on occupation measures. An optimal policy for the resulting class of dominance-constrained MDPs is obtained by solving a li...

Recent research identifies stochastic dominance as critical for understanding the relationship between network structure and diffusion. This paper introduces the concept of stochastic dominance, explains the theory linking stochastic dominance and diffusion, and applies this theory to a number of diffusion studies in the literature. The paper illustrates how the theory connects observations fro...