Test statistics for prospect and Markowitz stochastic dominances with applications

DOI10.1111/J.1368-423X.2011.00348.XzbMath1219.91149OpenAlexW3125568618MaRDI QIDQ3018506

Zhi-Dong Bai, Hua Li, Wing-Keung Wong, HuiXia Liu

Publication date: 27 July 2011

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00348.x

zbMATH Keywords

hypothesis testingtest statisticsrisk averserisk seekingprospect stochastic dominanceS-shaped utility functionMarkowitz stochastic dominanceRS-shaped utility function

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (4)

Nonmonotonic risk preferences over lottery comparison ⋮ On the role of commodity futures in portfolio diversification ⋮ Likelihood Ratio Tests for Lorenz Dominance ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

Cites Work

• Testing for stochastic dominance using the weighted McFadden-type statistic
• Multivariate linear and nonlinear causality tests
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• Prospect and Markowitz stochastic dominance
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Preferences over location-scale family
• Stochastic dominance theory for location-scale family
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
• A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
• Gains from diversification on convex combinations: a majorization and stochastic dominance approach
• Advances in prospect theory: cumulative representation of uncertainty
• A note on convex stochastic dominance
• Toward an empirical analysis of polarization
• On the dual test for SSD efficiency With an application to momentum investment strategies
• Prospect Theory and Asset Prices
• Prospect Theory: Much Ado About Nothing?
• TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
• Prospect Theory: An Analysis of Decision under Risk
• Discrete choice and stochastic utility maximization
• Extension of stochastic dominance theory to random variables
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Inference for Lorenz curve orderings
• Dual Stochastic Dominance and Related Mean-Risk Models
• Prospect Theory, Indifference Curves, and Hedging Risks
• Consistent Tests for Stochastic Dominance
• The Efficiency Analysis of Choices Involving Risk
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Justification and Extension of Doob's Heuristic Approach to the Kolmogorov- Smirnov Theorems
• Generalization of the Theorem of Glivenko-Cantelli

This page was built for publication: Test statistics for prospect and Markowitz stochastic dominances with applications