Testing for Third-Order Stochastic Dominance with Diversification Possibilities

We derive an empirical test for third-order stochastic dominance that allows for diversification between choice alternatives. The test can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our approach is illustrated using real-life US stock market data.

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Year of publication:	2002-02-05
Authors:	Post, Post, G.T.
Institutions:	Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Subject:	efficiency \| linear programming \| portfolio evaluation \| portfolio selection \| stochastic dominance

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Extent:	application/pdf
Series:	ERIM Report Series Research in Management. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureri Number ERS-2002-02-F&A
Classification:	C19 - Econometric and Statistical Methods: General. Other ; G3 - Corporate Finance and Governance ; M - Business Administration and Business Economics; Marketing; Accounting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731536