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An algorithm fornth degree stochastic dominance

 

作者: Billy P. Helms,   William H. Jean,   Hassan Tehranian,  

 

期刊: Applied Stochastic Models and Data Analysis  （WILEY Available online 1986）
卷期: Volume 2, issue 1‐2  

页码: 71-81

 

ISSN:8755-0024

 

年代: 1986

 

DOI:10.1002/asm.3150020107

 

出版商: John Wiley&Sons, Ltd.

 

关键词: Stochastic dominance;Algorithm;Finance;Efficient investment models

 

数据来源: WILEY

 

摘要:

AbstractAn algorithm fornth degree stochastic dominance is developed using necessary conditions derived by Whitmore, Jean and Jean and Helms to reduce the computation time. The algorithm is presented and tested to determine run times for large sets of portfolios. The algorithm is fast enough computationally to be useful for both research projects and practical applications.

 

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