TESTING FOR PROSPECT AND MARKOWITZ STOCHASTIC DOMINANCE EFFICIENCY
Sign Up to like & getrecommendations! 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
Spanning tests for Markowitz stochastic dominance
Sign Up to like & getrecommendations! 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