Portfolio efficiency tests based on stochastic dominance and co-integration

DOI10.1080/00207729308949617zbMath0791.90010OpenAlexW2036174985MaRDI QIDQ4283006

Jati K. Sengupta, Hyung-Soon Park

Publication date: 11 March 1994

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729308949617

zbMATH Keywords

stochastic dominancedynamic portfolio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Portfolio theory (91G10)

Related Items (5)

TESTING RESTRICTIONS IN NONPARAMETRIC EFFICIENCY MODELS ⋮ A robust nonparametric approach to evaluate and explain the performance of mutual funds ⋮ Functional convergence of quantile-type frontiers with application to parametric approximations ⋮ A general methodology for bootstrapping in non-parametric frontier models ⋮ Probabilistic characterization of directional distances and their robust versions

Cites Work

• Nonparametric tests of efficiency of portfolio investment
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Efficiency Analysis of Choices Involving Risk
• Unnamed Item

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