THE EFFECT OF ESTIMATION RISK IN PERFORMING STOCHASTIC DOMINANCE EFFICIENCY TESTS
研究了在备选方案多于两个且信息有限时，估计风险如何导致无效方案被纳入样本有效集、有效方案被排除，严重阻碍随机占优和均值方差效率分析的实际应用。
ABSTRACT In many applications involving the construction of efficient sets, the parameters of the alternatives are estimated using small examples. As a result, inefficient alternatives may be included in the sample efficient set and efficient alternatives left out. This paper investigates the effects of estimation risk when there are more than two alternatives and limited information. The study reveals that estimation risk is a severe handicap to the practical implementation of stochastic dominance and mean‐variance efficiency analysis.