Testing for stochastic dominance efficiency
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Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70)
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Cited in
(39)- Portfolio optimization based on stochastic dominance and empirical likelihood
- Optimal privatization portfolios in the presence of arbitrary risk aversion
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- On exact and approximate stochastic dominance strategies for portfolio selection
- Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
- Higher-degree stochastic dominance optimality and efficiency
- Stochastic dominance efficient sets and stochastic spanning
- Incomplete risk-preference information in portfolio decision analysis
- Stochastic dominance tests
- Portfolio diversification based on stochastic dominance under incomplete probability information
- Spanning tests for Markowitz stochastic dominance
- Can commodities dominate stock and bond portfolios?
- A new efficiency test for ranking investments: application to hedge fund performance
- On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
- General linear formulations of stochastic dominance criteria
- A new stochastic dominance criterion for dependent random variables with applications
- Bank characteristics and the interbank money market: a distributional approach
- Conditional stochastic dominance tests in dynamic settings
- Stochastic dominance: convexity and some efficiency tests
- Standard stochastic dominance
- Measuring human development: a stochastic dominance approach
- Portfolio efficiency tests based on stochastic dominance and co-integration
- Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data
- scientific article; zbMATH DE number 672319 (Why is no real title available?)
- Empirical tests for stochastic dominance optimality
- Testing for the stochastic dominance efficiency of a given portfolio
- Testing for prospect and Markowitz stochastic dominance efficiency
- Nonparametric tests of density ratio ordering
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
- Testing for positive expectation dependence
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
- Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects
- Stochastic Spanning
- Advancements in stochastic dominance efficiency tests
- Average testing and Pareto efficiency
- A test for the condor stochastic order: comparison of premiums and expected benefits of condor financial derivatives
- Lattice structures for the stochastic comparison of call ratio backspread derivatives with an application
- Constant proportion performance participation
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