Test statistics for prospect and Markowitz stochastic dominances with applications
DOI10.1111/j.1368-423X.2011.00348.xzbMath1219.91149OpenAlexW3125568618MaRDI QIDQ3018506
Zhi-Dong Bai, Hua Li, Wing-Keung Wong, HuiXia Liu
Publication date: 27 July 2011
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00348.x
hypothesis testingtest statisticsrisk averserisk seekingprospect stochastic dominanceS-shaped utility functionMarkowitz stochastic dominanceRS-shaped utility function
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (4)
Cites Work
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