Testing for prospect and Markowitz stochastic dominance efficiency
DOI10.1016/j.jeconom.2017.01.006zbMath1395.62098OpenAlexW2182814108MaRDI QIDQ524818
Stelios Arvanitis, Nikolas Topaloglou
Publication date: 26 April 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.006
linear programmingconsistencysimplicial complexmixed integer programmingblock bootstrapnonparametric testextremal pointMarkowitz stochastic dominance efficiencyprospect stochastic dominance efficiency
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Portfolio theory (91G10)
Related Items (4)
Cites Work
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