Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
From MaRDI portal
Publication:1753612
DOI10.1016/J.EJOR.2017.02.047zbMATH Open1403.62072OpenAlexW2594268665MaRDI QIDQ1753612FDOQ1753612
Authors: Wing-Keung Wong, Zhijie Xiao, Pin T. Ng 
Publication date: 29 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.02.047
Recommendations
- Testing for stochastic dominance efficiency
- Conditional stochastic dominance tests in dynamic settings
- Testing for the stochastic dominance efficiency of a given portfolio
- Stochastic dominance tests
- Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)
Cites Work
- Regression Quantiles
- Title not available (Why is that?)
- Adaptive \(L\)-estimation for linear models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Inference based on conditional moment inequalities
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Consistent Tests for Stochastic Dominance
- Testing for stochastic dominance using the weighted McFadden-type statistic
- Prospect theory: much ado about nothing?
- Crossing probabilities for a square root boundary by a bessel process
- Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
- Inference for Lorenz curve orderings
- Nonparametric Tests of Stochastic Dominance in Income Distributions
- Gains from diversification on convex combinations: a majorization and stochastic dominance approach
- General linear formulations of stochastic dominance criteria
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
- An improved bootstrap test of stochastic dominance
- Standard stochastic dominance
- Marginal Conditional Stochastic Dominance
- Do investors like to diversify? A study of Markowitz preferences
- Prospect and Markowitz stochastic dominance
- Improving the power of tests of stochastic dominance
- Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
- Tractable almost stochastic dominance
- Incorporating covariates in the measurement of welfare and inequality: methods and applications
- Conditional stochastic dominance tests in dynamic settings
- A Monte Carlo investigation of some tests for stochastic dominance
- On exact and approximate stochastic dominance strategies for portfolio selection
- Properties and comparison of risk capital allocation methods
- The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- Multivariate stochastic dominance for risk averters and risk seekers
- Stochastic dominance based comparison for system selection
- Mapping the presidential election cycle in US stock markets
- Test statistics for prospect and Markowitz stochastic dominances with applications
- Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
Cited In (6)
- Central moments, stochastic dominance, moment rule, and diversification with an application
- Testing higher and infinite degrees of stochastic dominance for small samples: a Bayesian approach
- To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from virtual globes and its rate of diffusion in a financial market
- Portfolio diversification based on stochastic dominance under incomplete probability information
- New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong
- Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
This page was built for publication: Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1753612)
