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Spanning and Intersection: a stochastic dominance approach

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  • Post, G.T.

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.

Suggested Citation

  • Post, G.T., 2001. "Spanning and Intersection: a stochastic dominance approach," ERIM Report Series Research in Management ERS-2001-63-F&A, 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.
    • Handle: RePEc:ems:eureri:129
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    References listed on IDEAS

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    Cited by:

    1. Post, G.T., 2001. "LP Tests for MV Efficiency," ERIM Report Series Research in Management ERS-2001-66-F&A, 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.
    2. Iñaki R. Longarela, 2016. "A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints," Management Science, INFORMS, vol. 62(12), pages 3549-3554, December.

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    More about this item

    Keywords

    emerging markets; intersection; linear programming; spanning; stochastic dominance;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
    • G3 - Financial Economics - - Corporate Finance and Governance
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics

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