Moment conditions for Almost Stochastic Dominance

Xu Guo, Thierry Post, Wing Keung Wong, Lixing Zhu*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

22 Citations (Scopus)


This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.

Original languageEnglish
Pages (from-to)163-167
Number of pages5
JournalEconomics Letters
Issue number2
Publication statusPublished - Aug 2014

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Decision theory
  • Moments
  • Necessary conditions
  • Stochastic dominance
  • Utility theory


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