GENERALIZED STOCHASTIC DOMINANCE: AN EMPIRICAL EXAMINATION

Use of generalized stochastic dominance (GSD) requires one to place lower and upper bounds on the risk aversion coefficient. This study showed that breakeven risk aversion coefficients found assuming the exponential utility function delineate the places where GSD preferences switch between prospects. However, between these break points, multiple, overlapping GSD intervals can be found. Consequently, when one does not have risk aversion coefficient information, discovery of breakeven coefficients instead of GSD use is recommended. The investigation also showed GSD results are insensitive to wealth and data scaling but are sensitive to rounding.


Issue Date:
1990-12
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/30005
Published in:
Southern Journal of Agricultural Economics, Volume 22, Number 1
Page range:
49-55
Total Pages:
7




 Record created 2017-04-01, last modified 2017-08-24

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