Bey, R.P. (1979) Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm. Journal of Financial and Quantitative Analysis, 14, 1059-1070.

has been cited by the following article:

• TITLE: LPM Density Functions for the Computation of the SD Efficient Set

  AUTHORS: Fred Viole, David Nawrocki

  KEYWORDS: Stochastic Dominance Algorithm, Lower Partial Moments, Expected Utility Theory, Prospect Theory, Upper Partial Moments

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.1, February 26, 2016

  ABSTRACT: The equivalence between partial moments and stochastic dominance dates back to Bawa [1] and Fishburn [2]. We present a test for first, second, and third degree stochastic dominance between two variables using Lower Partial Moments. The results uphold Hadar and Russell’s [3] original conclusions about the odd moments of preferred prospects. We recall Nawrocki’s [4] research comparing Mean/Variance portfolios against the continuum of risk-averse investors using Lower Partial Moments. The excess skewness of the LPM portfolios clearly demonstrates the preference of positive skewness for risk-averse investors. Finally, we provide an algorithm for efficiently determining stochastic dominance efficient sets among large numbers of variables.