Spanning tests for Markowitz stochastic dominance
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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