This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
J`ck Meyer
Robert H. Rasche

Additional information is available for the following registered author(s):

Abstract

If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify relationships among, the distribution functions. A particularly useful restriction is one which requires that elements in the choice set, when normalized to have a zero mean and unit variance, be identically distributed. No restriction is placed on the form of any individual distribution function. This research empirically tests for this and other useful restrictions on the relationships among the elements of a set of random variables. Observations from the random variables are used to test whether or not they have distribution functions which are appropriately related to one another. The tests are applied to rate of return data for portfolios of common stock. The tests indicate that one cannot reject the hypothesis that the distribution functions of these portfolios are sufficiently similar to imply that the efficient set of portfolios for any risk averse expected utility maximizer is contained in the mean-standard deviation efficient set.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.nber.org/papers/t0076.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0076.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Mar 1989
Date of revision:
Handle: RePEc:nbr:nberte:0076

Note: ME
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Email:
Web page: http://www.nber.org
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

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. Pulley, Lawrence B., 1981. "A General Mean-Variance Approximation to Expected Utility for Short Holding Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 361-373, September. [Downloadable!]
  2. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March. [Downloadable!] (restricted)
  3. Feder, Gershon, 1977. "The impact of uncertainty in a class of objective functions," Journal of Economic Theory, Elsevier, vol. 16(2), pages 504-512, December. [Downloadable!] (restricted)
  4. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September. [Downloadable!] (restricted)
  5. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? RePEc encourages publishers to make their bibliographic data freely available to the public.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.