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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
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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

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References

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