Stochastic dominance tests
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Publication:2177995
Recommendations
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Cites work
- A Test of the Efficiency of a Given Portfolio
- Advances in prospect theory: cumulative representation of uncertainty
- An improved bootstrap test of stochastic dominance
- Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
- Consistent Tests for Stochastic Dominance
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Markov chain Monte Carlo methods for stochastic volatility models.
- Multivariate Stochastic Variance Models
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Portfolio Selection and Asset Pricing—Three-Parameter Framework
- Portfolio construction based on stochastic dominance and target return distributions
- Processing second-order stochastic dominance models using cutting-plane representations
- Prospect Theory: An Analysis of Decision under Risk
- Prospect theory: much ado about nothing?
- Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
- Robust stochastic dominance and its application to risk-averse optimization
- Smoothly mixing regressions
- Stability analysis of stochastic programs with second order dominance constraints
- Static portfolio choice under cumulative prospect theory
- Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
- Stochastic Dominance
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic orders and applications. A classified bibliography. With the collaboration of Rainer Dyckerhoff and Hartmut Holz
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Testing for prospect and Markowitz stochastic dominance efficiency
- Testing for stochastic dominance efficiency
- Testing for stochastic dominance using the weighted McFadden-type statistic
- The data of Levy and Levy (2002) ``Prospect theory: much ado about nothing? actually support prospect theory
- The simulation smoother for time series models
- Tractable almost stochastic dominance
Cited in
(21)- Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
- Higher-degree stochastic dominance optimality and efficiency
- Prospect and Markowitz stochastic dominance
- Testing for the stochastic dominance efficiency of a given portfolio
- A stochastic dominance approach to the measurement of discrimination
- Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
- Testing for prospect and Markowitz stochastic dominance efficiency
- Stochastic dominance and optimal portfolio
- Economically relevant preferences for all observed epsilon
- Standard stochastic dominance
- Stochastic dominance: convexity and some efficiency tests
- Conditional stochastic dominance tests in dynamic settings
- Test statistics for prospect and Markowitz stochastic dominances with applications
- Empirical tests for stochastic dominance optimality
- General linear formulations of stochastic dominance criteria
- Testing for central dominance: method and application
- Testing for stochastic dominance efficiency
- Stochastic dominance and parameter estimation: The case of symmetric stable distributions
- Spanning tests for Markowitz stochastic dominance
- Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
- Advancements in stochastic dominance efficiency tests
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