References 


Anderson, G. (1996). Nonparametric tests of stochastic dominance in income distributions. 
Econometrica,64, 1183-1193. 
 
Arouri, M.E.H., Lahiani, A., Levy, A., Nguyen, D.K. (2012). Forecasting the conditional 
volatility of oil spot and futures prices with structural breaks and long memory models. Energy 
Economics, 34, 283-293. 
 
Bai, Z. D., Hui, Y.C. Wong, W.K. and Zitikis, R. (2012). Evaluating Prospect Performance: 
making a Case for a Non-asymptotic UMPU test. Journal of Financial Econometrics, 10(4), 
703-732. 
 
Bai, Z., Li, H., Liu, H., Wong, W.K. (2011). Test Statistics for Prospect and Markowitz 
Stochastic Dominances with Applications. Econometrics Journal, 14(2), 278-303 
 
Barrett, G., Donald, S. (2003). Consistent tests for stochastic dominance. Econometrica, 71, 
71-104. 
 
Beedles, W.L. (1979). Return, dispersion and skewness: synthesis and investment strategy. 
Journal of Financial Research, 2, 71-80. 
 
Bekiros, S.D., Diks, C.G.H. (2008). The Relationship between Crude Oil Spot and Futures 
Prices: Cointegration, Linear and Nonlinear Causality. Energy Economics, 30(5), 2673-2685. 
 
Bishop, J.A., Formly, J.P., Thistle, P.D. (1992). Convergence of the South and non-South income 
distributions. American Economic Review, 82, 262-272. 
 
Bopp, A.E., Sitzer, S. (1987). Are petroleum futures prices good predictors of cash value? 
Journal of Futures Markets, 7, 705-719. 
 
Broll, U., Egozcue, M., Wong, W.K., and Zitikis, R. (2010). Prospect theory, indifference curves, 
and hedging risks. Applied Mathematics Research Express, 2, 142-153. 
 
Chan, C.Y., Christian de Peretti, C., Qiao, Z., Wong, W.K. (2012). Empirical Test of the 
Efficiency of UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test 
Approach. Journal of Empirical Finance, 19(1), 162-174. 
 
Crowder, W.J., Hamid, A. (1993). A co-integration test for oil futures market efficiency. Journal 
of Futures Markets, 13, 933-941. 

Cumby, R.E., Glen, J.D. (1990). Evaluating the performance of international mutual funds. 
Journal of Finance, 45(2), 497-521. 
 
Davidson, R., Duclos, J-Y. (2000). Statistical inference for stochastic dominance and for the 
measurement of poverty and inequality. Econometrica, 68, 1435-1464. 
 
Egozcue, M., Fuentes García, L., Wong, W.K., and Zitikis, R. (2011), Do investors like to 
diversify? A study of Markowitz preferences, European Journal of Operational Research, 215(1), 
188-193. 
 
Falk, H., Levy, H. (1989). Market reaction to quarterly earnings' announcements: A stochastic 
dominance based test of market efficiency. Management Science, 35, 425-446. 
 
Fishburn, P.C. (1964). Decision and Value Theory, New York. 
 
Fong, W.M., Lean, H.H., Wong, W.K. (2008). Stochastic dominance and behavior towards risk: 
the market for internet stocks. Journal of Economic Behavior and Organization, 68(1), 194-208. 
 
Fong, W.M., See, K.H. (2003). Basis variations and regime shifts in the oil futures market. The 
European Journal of Finance, 9, 499-513. 
 
Fong, W.M., Wong, W.K., Lean, H.H. (2005). International momentum strategies: A stochastic 
dominance approach. Journal of Financial Markets, 8, 89-109. 
 
Friedman, M., Savage, L.J. (1948), The Utility Analysis of Choices Involving Risk. Journal of 
Political Economy, 56, 279-304. 
 
Gasbarro, D., Wong, W.K., Zumwalt, J.K. (2007). Stochastic dominance analysis of iShares. 
European Journal of Finance, 13, 89-101. 
 
Guo, X., Zhu, X.H., Wong, W.K., Zhu, L.X. (2013). A Note on Almost Stochastic Dominance. 
Economics Letters, forthcoming. 
 
Gulen, S.G., (1999). Regionalization in world crude oil markets: further evidence. Energy 
Journal, 20, 125-139. 
 
Hadar J., Russell, W.R. (1969). Rules for ordering uncertain prospects. American Economic 
Review, 59, 25-34. 
 
Hammond, J.S., (1974). Simplifying the choice between uncertain prospects where preference is 
nonlinear. Management Science, 20(7), 1047-1072.

Hammoudeh, S., Li, H., Jeon, B. (2003). Causality and volatility spillovers among petroleum 
prices of WTI, gasoline and heating oil in different locations. North American Journal of 
Economics and Finance, 14, 89-114. 
 
Hanoch, G., Levy, H. (1969). The efficiency analysis of choices involving risk. Review of 
Economic studies, 36, 335-346. 
 
Jarrow, R. (1986). The relationship between arbitrage and first order stochastic dominance. 
Journal of Finance, 41, 915-921. 
 
Jensen, M.C. (1969). Risk, the pricing of capital assets and the evaluation of investment 
portfolios. Journal of Business, 42, 167-247. 
 
Kahneman, D., Tversky, A. (1979). Prospect theory of decisions under risk. Econometrica, 47(2), 
263-291. 
 
Kang, S.H., Kang, S.M. and Yoon, S.M. (2009). Forecasting volatility of crude oil markets. 
Energy Economics, 31, 119-125. 
 
Kaur, A., Rao, B.L.S.P., Singh, H. (1994). Testing for second order stochastic dominance of two 
distributions. Econometric Theory, 10, 849-866. 
 
Klecan, L., McFadden, R., McFadden, D. (1991). A robust test for stochastic dominance. 
Working Paper, MIT & Cornerstone Research. 
 
Lean, H.H., McAleer, M., Wong, W.K. (2010). Market efficiency of oil spot and futures: A 
mean-variance and stochastic dominance approach. Energy Economics, 32, 979-986. 
 
Lean, H.H., Smyth, R., Wong, W.K. (2007). Revisiting calendar anomalies in Asian stock 
markets using a stochastic dominance approach. Journal of Multinational Financial Management, 
17(2), 125-141. 
 
Lean, H.H., Wong, W.K., Zhang, X. (2008). Size and Power of Some Stochastic Dominance 
Tests: A Monte Carlo Study. Mathematics and Computers in Simulation, 79, 30-48. 
 
Leshno, M. and H. Levy. (2002). Preferred by “All” and preferred by “Most” decision makers: 
Almost stochastic dominance. Management Science, 48, 1074-1085. 
 
Leung, P.L., Wong, W.K. (2008). On Testing the Equality of the Multiple Sharpe Ratios, with 
Application on the Evaluation of IShares. Journal of Risk, 10(3), 1-16.
Levy, H., Levy, M. (2004). Prospect theory and mean-variance analysis. Review of Financial 
Studies, 17(4), 1015-1041. 
 
Li, C.K., Wong, W.K. (1999). A note on stochastic dominance for risk averters and risk takers. 
RAIRO Recherche Operationnelle, 33, 509-524. 
 
Lin, X.S., Tamvakis, M.N. (2001). Spillover effects in energy futures markets. Energy 
Economics, 23, 43-56. 
 
Linton, O., Maasoumi, E., Whang, Y-J. (2005). Consistent testing for stochastic dominance under 
general sampling schemes. Review of Economic Studies, 72, 735-765. 
 
Markowitz, H.M. (1952a). Portfolio selection. Journal of Finance, 7, 77-91. 
 
Markowitz, H.M. (1952b), The Utility of Wealth. Journal of Political Economy, 60, 151-156. 
 
McFadden, D. (1989). Testing for stochastic dominance. In: T.B. Fomby and T.K. Seo, (Eds.), 
Studies in the Economics of Uncertainty. Springer Verlag, New York. 
 
Morey, M.R., Morey, R.C. (2000). An analytical confidence interval for the Treynor index: 
formula, conditions and properties. Journal of Business Finance & Accounting, 27(1) & (2), 
127-154. 
 
Post, T., Levy, H. (2005). Does risk seeking drive asset prices? A stochastic dominance analysis 
of aggregate investor preferences and beliefs. Review of Financial Studies, 18(3), 925-953. 
 
Qiao, Z., Clark, E., Wong, W.K. (2013). Investors’ Preference towards Risk: Evidence from the 
Taiwan Stock and Stock Index Futures Markets. To appear in Accounting & Finance. 
 
Quirk J.P., Saposnik, R. (1962). Admissibility and measurable utility functions. Review of 
Economic Studies, 29, 140-146. 
 
Rothschild, M., Stiglitz, J.E. (1970). Increasing risk I. A definition. Journal of Economic Theory, 
2, 225-243. 
 
Schwartz, T.V., Szakmary, A.C. (1994). Price discovery in petroleum markets: arbitrage, 
cointegration and the time interval of analysis. Journal of Futures Markets, 14, 147-167. 
 
Sharpe, W.F. (1964). Capital asset prices: Theory of market equilibrium under conditions of risk. 
Journal of Finance 19, 425-442.

Sriboonchitta, S., Wong, W.K., Dhompongsa, S., Nguyen, H.T. (2009). Stochastic Dominance 
and Applications to Finance, Risk and Economics, Chapman and Hall/CRC, Taylor and 
Francis Group, Boca Raton, Florida, USA. 
 
Tesfatsion, L. (1976). Stochastic dominance and maximization of expected utility. Review of 
Economic Studies, 43, 301-315. 
 
Treynor, J.L. (1965). How to rate management of investment funds. Harvard Business Review, 
43, 63-75. 
 
Tse, Y.K., Zhang, X. (2004). A Monte Carlo investigation of some tests for stochastic dominance. 
Journal of Statistical Computation and Simulation, 74, 361-378. 
 
Tversky, A., Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of 
uncertainty. Journal of Risk and Uncertainty, 5, 297-323. 
 
Wilson, B., Aggarwal, R., Inclan, C. (1996). Detecting volatility changes across the oil sector. 
Journal of Futures Markets, 16, 313-320. 
 
Wong, W.K. (2007). Stochastic dominance and mean-variance measures of profit and loss for 
business planning and investment. European Journal of Operational Research, 182, 829-843. 
 
Wong, W.K., Chan, R.H. (2008). Markowitz and prospect stochastic dominances. Annals of 
Finance, 4(1), 105-129. 
 
Wong, W.K., Li, C.K. (1999). A note on convex stochastic dominance theory. Economics Letters, 
62, 293-300. 
 
Wong, W.K. Ma, C. (2008). Preferences over location-scale family. Economic Theory, 37(1), 
119-146. 
 
Wong, W.K., Phoon, K.F., Lean, H.H. (2008). Stochastic dominance analysis of Asian hedge 
funds. Pacific-Basin Finance Journal, 16(3), 204-223.