A STOCHASTIC-DOMINANCE COMPARISON OF TRUNCATED NORMAL-DISTRIBUTIONS

被引：6
|
作者：
STEIN, WE
PFAFFENBERGER, RC
MIZZI, PJ
机构：
[1] TEXAS CHRISTIAN UNIV,DEPT FINANCE & DECIS SCI,FT WORTH,TX 76129
[2] ARIZONA STATE UNIV W,BUSINESS PROGRAMS,PHOENIX,AZ 85069
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 1993年 / 67卷 / 02期
关键词：
UTILITY THEORY; STATISTICS; DISTRIBUTIONS; FINANCE; INVESTMENTS;
D O I：
10.1016/0377-2217(93)90066-V
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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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页码：259 / 266
页数：8
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