Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests

DOI10.1080/07350015.2021.1888741zbMATH Open1547.62594MaRDI QIDQ6620915

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Publication date: 17 October 2024

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Growth and convergence: a profile of distribution dynamics and mobility
• Testing for prospect and Markowitz stochastic dominance efficiency
• On the blockwise bootstrap for empirical processes for stationary sequences
• An improved bootstrap test of stochastic dominance
• Testing for Stochastic Dominance Efficiency
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Empirical Tests for Stochastic Dominance Optimality
• A Test of the Efficiency of a Given Portfolio
• On blocking rules for the bootstrap with dependent data
• Testing for Restricted Stochastic Dominance
• Testing for the stochastic dominance efficiency of a given portfolio
• On the Skorokhod representation theorem
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Consistent Testing for Stochastic Dominance under General Sampling Schemes

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