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The identification of stochastic dominance efficient sets by moment combination orderings |
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| Affiliation: | 1. University of Illinois, United States;2. Federal Reserve Board, United States;1. Washington University in St. Louis, United States;2. Columbia University and CEPR, United States;1. Department of Economics, Washington University in St. Louis, Campus Box 1208, St. Louis, MO 63130-4899, United States;2. Department of Statistics and Actuarial Science, University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242-1409, United States |
| Abstract: | A new procedure using algebraic combinations of central moments is derived to identify stochastic dominance efficient sets of security portfolios. The number of computations involved with the moment combinations are significantly smaller than those with regular stochastic dominance tests. The effectiveness of the moment combination procedure is demonstrated with a large-scale empirical study. |
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