FSD

Description

Uni-directional test of first degree stochastic dominance using lower partial moments used in SD Efficient Set routine.

Usage

1
FSD(x, y)

Arguments

x

variable

y

variable

Value

Returns (1) if "X FSD Y", else (0).

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2016) "LPM Density Functions for the Computation of the SD Efficient Set." Journal of Mathematical Finance, 6, 105-126. http://www.scirp.org/Journal/PaperInformation.aspx?PaperID=63817.

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100)
FSD(x,y)