Test statistics for prospect and Markowitz stochastic dominances with applications

DOI10.1111/j.1368-423X.2011.00348.xzbMath1219.91149MaRDI 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 testing; test statistics; risk averse; risk seeking; prospect stochastic dominance; S-shaped utility function; Markowitz stochastic dominance; RS-shaped utility function

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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