A0340
Title: Testing second-order stochastic dominance
Authors: Tommaso Lando - University of Bergamo (Italy) [presenting]
Sirio Legramanti - University of Bergamo (Italy)
Abstract: Second-order stochastic dominance (SSD) is probably the main ordering relation in fields such as economics and finance. A nonparametric test is proposed that measures deviations from the null assumption of SSD. Critical values of the test may be obtained using bootstrap procedures. Asymptotic properties are studied from a theoretical perspective and by means of simulation studies.
