Stochastic dominance tests

DOI10.1016/J.JEDC.2020.103849MaRDI QIDQ2177995zbMATH OpenOpenAlexFDO

Authors Nikolas Topaloglou, Mike G. Tsionas

Publication date 7 May 2020

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2020.103849

zbMATH Keywords

Markov chain Monte Carlolinear programmingstochastic dominanceprospect stochastic dominanceposterior analysisMarkowitz stochastic dominance

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• Testing for prospect and Markowitz stochastic dominance efficiency
• Empirical tests for stochastic dominance optimality
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Cites work

• A Test of the Efficiency of a Given Portfolio
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• Testing for stochastic dominance efficiency
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• The data of Levy and Levy (2002) ``Prospect theory: much ado about nothing? actually support prospect theory
• The simulation smoother for time series models
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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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• MINLPB4

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