Details

Autor(en) / Beteiligte

• Haven, Emmanuel

Titel

The financial relevance of fuzzy stochastic dominance: a brief note

Ist Teil von

• Fuzzy sets and systems, 2005-06, Vol.152 (3), p.467-473

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

2005

Link zum Volltext

Quelle

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Beschreibungen/Notizen

• This paper considers three applications. In the first application, we use the notion of fuzzy first-order stochastic dominance as defined by De Schuymer et al. (Cycle-transitive comparison of independent random variables, J. Multivariate Anal., in press) to explain various relationships between financial arbitrage and fuzzy first-order stochastic dominance. In the second application, we contrast dominance versus stochastic dominance and we define fuzzy dominance. In the third application, we argue that there exists moderate stochastic transitivity when the cumulative distribution functions are normal and there is financial quasi-arbitrage.