Testing for Third-Order Stochastic Dominance with Diversification Possibilities

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

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Year of publication:	[2009]
Authors:	Post, Thierry
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2002 2, erstellt
Classification:	G3 - Corporate Finance and Governance ; C19 - Econometric and Statistical Methods: General. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012766609