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

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