Empirical Tests for Stochastic Dominance Optimality

DOI10.1093/rof/rfw010zbMath1406.62126OpenAlexW3125323209MaRDI QIDQ4555660

Thierry Post

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfw010

zbMATH Keywords

riskstock portfoliosstochastic dominance optimality

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Portfolio optimization based on stochastic dominance and empirical likelihood ⋮ Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Increasing discriminatory power in well-being analysis using convex stochastic dominance

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