Testing for Stochastic Dominance Efficiency

DOI10.1198/jbes.2009.06167zbMath1198.62157OpenAlexW2055286074MaRDI QIDQ3160940

Olivier Scaillet, Nikolas Topaloglou

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:5756

zbMATH Keywords

linear programmingmixed integer programmingstochastic orderingblock bootstrapdominance efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Applications of mathematical programming (90C90)

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