Articles with "dominance spanning" as a keyword



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Spanning tests for Markowitz stochastic dominance

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Published in 2020 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2019.12.005

Abstract: We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some… read more here.

Keywords: spanning tests; markowitz stochastic; dominance spanning; tests markowitz ... See more keywords