Testing for the stochastic dominance efficiency of a given portfolio
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- Oliver Linton & Thierry Post & Yoon‐Jae Whang, 2014. "Testing for the stochastic dominance efficiency of a given portfolio," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 59-74, June.
References listed on IDEAS
- Kroll, Yoram & Levy, Haim, 1980. "Sampling Errors and Portfolio Efficient Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 655-688, September.
- Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
- Post, Thierry & Versijp, Philippe, 2007. "Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(02), pages 489-515, June.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
- Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
- Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(01), pages 1-11, January.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. " Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
- Stelios Arvanitis & Mark Hallam & Thierry Post, 2015. "Stochastic Spanning," Koç University-TUSIAD Economic Research Forum Working Papers 1505, Koc University-TUSIAD Economic Research Forum.
- repec:spr:metron:v:75:y:2017:i:2:d:10.1007_s40300-017-0117-z is not listed on IDEAS
- Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.
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