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   Articles with "dominance efficiency" as a keyword



TESTING FOR PROSPECT AND MARKOWITZ STOCHASTIC DOMINANCE EFFICIENCY

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recommendations! Published in 2017 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2017.01.006

Abstract: We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ… read more here.

Keywords: markowitz stochastic; dominance; stochastic dominance; dominance efficiency ... See more keywords