Spanning tests for Markowitz stochastic dominance

DOI10.1016/j.jeconom.2019.12.005zbMath1456.62081arXiv1810.10800OpenAlexW2996847862MaRDI QIDQ2190226

Nikolas Topaloglou, Stelios Arvanitis, Olivier Scaillet

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.10800

zbMATH Keywords

linear and mixed integer programmingMarkowitz stochastic dominancereverse S-shaped utilitysaddle-type pointspanning test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

Editorial: Nonlinear financial econometrics JoE special issue introduction

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