Agliardi, Elettra; Agliardi, Rossella; Pinar, Mehmet; … - In: Journal of Empirical Finance 19 (2012) 5, pp. 741-761
An optimal weighting scheme is proposed to construct economic, political and financial risk indices in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. These tests are considered for a given risk index with respect to all possible indices...