Hostname: page-component-cd9895bd7-dk4vv Total loading time: 0 Render date: 2025-01-05T13:35:11.250Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Estimation Risk in First-Order Stochastic Dominance: A Note

Published online by Cambridge University Press:  01 December 2009

William Stein ,
Roger Pfaffenberger  and
P. C. Kumar
Get access Rights & Permissions [Opens in a new window]

Extract

This note has given results for the probability of committing a Type I error in first-order stochastic dominance when it is assumed that both options have been sampled from the same distribution of returns. The probabilities are based on known results in the stochastic processes and statistical goodness-of-fit literatures, but have not been recognized in connection with the problem of estimation of risk in stochastic dominance. Further work on FSD Type II error probabilities based on ideas in this paper is in progress.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 4 , December 1983 , pp. 471 - 476
Copyright
Copyright © School of Business Administration, University of Washington 1983

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Fulton, G. E., and Narayana, T. V.. “A Note on the Compositions of an Integer.” Canadian Mathematical Bulletin, Vol. 1 (1958), pp. 169–173.Google Scholar
[2]Kroll, Y., and Levy, H.. “Sampling Errors and Portfolio Efficiency Analysis.” Journal of Financial and Quantitative Analysis, Vol. 15 (September 1980), pp. 655–688.Google Scholar
[3]Kumar, P. C., and Pfaffenberger, R. C.. “Estimation Risk in Stochastic Dominance.”Paper presented at the Financial Management Association Annual Meeting,Seattle, Washington(October 13–14, 1977).Google Scholar
[4]Steck, G. P. “A New Formula for P(Ri ≤ bi, 1 ≤ i ≤ m/m, n, F = Gk).” Annals of Probability, Vol. 2 (1974), pp. 155–160.Google Scholar
[5]Takacs, L.Combinatorial Methods in the Theory of Stochastic Processes. New York: John Wiley & Sons, Inc. (1967).Google Scholar