A stochastic dominance comparison of truncated normal distributions

William E. Stein; Roger C. Pfaffenberger; Philip Mizzi

doi:10.1016/0377-2217(93)90066-V

A stochastic dominance comparison of truncated normal distributions

William E. Stein, Roger C. Pfaffenberger, Philip Mizzi

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

A characterization of first and second order stochastic dominance rules is given for the comparison of two truncated normal distributions. Two types of truncation are considered: equal areas in each tail for both distributions or both distributions truncated at the same value on the left tail. A transformation of the normal distributions makes it possible to display the results graphically. The results can be used to compare the possible returns on investments with limited liability.

Original language	English (US)
Pages (from-to)	259-266
Number of pages	8
Journal	European Journal of Operational Research
Volume	67
Issue number	2
DOIs	https://doi.org/10.1016/0377-2217(93)90066-V
State	Published - Jun 11 1993

Keywords

Distributions
Finance
Investments
Statistics
Utility theory

ASJC Scopus subject areas

General Computer Science
Modeling and Simulation
Management Science and Operations Research
Information Systems and Management

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10.1016/0377-2217(93)90066-V

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abstract = "A characterization of first and second order stochastic dominance rules is given for the comparison of two truncated normal distributions. Two types of truncation are considered: equal areas in each tail for both distributions or both distributions truncated at the same value on the left tail. A transformation of the normal distributions makes it possible to display the results graphically. The results can be used to compare the possible returns on investments with limited liability.",

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AU - Pfaffenberger, Roger C.

AU - Mizzi, Philip

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AB - A characterization of first and second order stochastic dominance rules is given for the comparison of two truncated normal distributions. Two types of truncation are considered: equal areas in each tail for both distributions or both distributions truncated at the same value on the left tail. A transformation of the normal distributions makes it possible to display the results graphically. The results can be used to compare the possible returns on investments with limited liability.

KW - Distributions

KW - Finance

KW - Investments

KW - Statistics

KW - Utility theory

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JF - European Journal of Operational Research

IS - 2

ER -

A stochastic dominance comparison of truncated normal distributions

Abstract

Keywords

ASJC Scopus subject areas

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