Spanning and Intersection: a stochastic dominance approach
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.
|Date of creation:||06 Nov 2001|
|Date of revision:|
|Contact details of provider:|| Postal: RSM Erasmus University & Erasmus School of Economics, PoBox 1738, 3000 DR Rotterdam|
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