Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income  Inequality

dc.contributor.author	Knight, John	en_GB
dc.contributor.author	Satchell, Stephen E.	en_GB
dc.date.accessioned	2004-06-16T16:05:52Z
dc.date.available	2004-06-16T16:05:52Z
dc.date.created	1999-06	en_GB
dc.date.issued	2004-06-16T16:05:52Z
dc.identifier.uri	http://www.dspace.cam.ac.uk/handle/1810/422
dc.identifier.uri	https://www.repository.cam.ac.uk/handle/1810/422
dc.description.abstract	The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the SP 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK.	en_GB
dc.format.extent	155420 bytes
dc.format.mimetype	application/pdf	en_GB
dc.format.mimetype	application/pdf
dc.language.iso	en_GB
dc.publisher	Faculty of Economics
dc.relation.ispartofseries	Cambridge Working Papers in Economics
dc.rights	All Rights Reserved	en
dc.rights.uri	https://www.rioxx.net/licenses/all-rights-reserved/	en
dc.subject.classification	Classification-JEL: C12, C44, D61	en_GB
dc.subject.other	Stochastic dominance, Inequality, Proper risk aversion	en_GB
dc.title	Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality	en_GB
dc.type	Working Paper	en
dc.identifier.doi	10.17863/CAM.5032

Cambridge Working Papers in Economics (CWPE)
A new series of papers from the Faculty of Economics and the Department of Applied Economics, which supersedes the DAE Working Paper series