Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data
Ronny Aboudi, Dominique Thon · Management Science · 1994
It is known that when the random variables being compared have a uniform probability measure, as is the case when using financial market data, the computation of efficient sets for first- and second-degree dominance can be greatly simplified if majorization conditions are used instead of the dominance definitions. This paper presents an equally efficient technique for third-degree dominance.