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Spanning and Intersection: a stochastic dominance approach

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Author Info
Post, G.T. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)
Abstract

We propose linear programming tests for spanning and intersection based on stochastic dominance rather than mean-variance analysis. An empirical application investigates the diversification benefits to US investors from emerging equity markets.

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File URL: http://hdl.handle.net/1765/129
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Publisher Info
Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2001-63-F&A Revision_Date: 2009-10-26.

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Date of creation: 06 Nov 2001
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Handle: RePEc:dgr:eureri:2001125

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Web page: http://www.erim.eur.nl/

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Related research
Keywords: spanning; intersection; stochastic dominance; linear programming; emerging markets;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Levy, Haim, 1985. " Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September. [Downloadable!] (restricted)
  2. Geert Bekaert & Michael S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January. [Downloadable!] (restricted)
  4. Beach, Charles M & Davidson, Russell, 1983. "Distribution-Free Statistical Inference with Lorenz Curves and Income Shares," Review of Economic Studies, Blackwell Publishing, vol. 50(4), pages 723-35, October. [Downloadable!] (restricted)
  5. Russell Davidson & Jean-Yves Duclos, 2000. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Econometrica, Econometric Society, vol. 68(6), pages 1435-1464, November.
    Other versions:
  6. Valentino Dardanoni & Antonio Forcina, 1999. "Inference for Lorenz curve orderings," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 49-75.
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This page was last updated on 2009-12-9.

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