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.

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Year of publication:	2001-11-06
Authors:	Post, G.T.
Institutions:	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.
Subject:	spanning \| intersection \| stochastic dominance \| linear programming \| emerging markets

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Extent:	application/pdf
Series:	Research Paper. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureri Number ERS-2001-63-F&A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005288520