Testing for prospect and Markowitz stochastic dominance efficiency

DOI10.1016/j.jeconom.2017.01.006zbMath1395.62098OpenAlexW2182814108MaRDI QIDQ524818

Stelios Arvanitis, Nikolas Topaloglou

Publication date: 26 April 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.006

zbMATH Keywords

linear programmingconsistencysimplicial complexmixed integer programmingblock bootstrapnonparametric testextremal pointMarkowitz stochastic dominance efficiencyprospect stochastic dominance efficiency

Mathematics Subject Classification ID

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

Related Items (4)

Stochastic dominance tests ⋮ Spanning tests for Markowitz stochastic dominance ⋮ Stochastic dominance efficient sets and stochastic spanning ⋮ On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

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