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.

The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The...

DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the persistence of or the return to equilibrium...

En el contexto de toma de decisiones multicriterio y bajo ciertas circunstancias, puede ocurrir que no se pueda expresar una cierta valoración mediante una única etiqueta lingüística, ya que puede haber duda en esa valoración. En este trabajo, presentamos un modelo de consenso para...

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed...

We analyze if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and industry classification. During the period from the mid-1970s to the late 1980s, the...

We propose a new test of the stochastic dominance efficiency of a given portfolio over a class of portfolios. We establish its null and alternative asymptotic properties, and define a method for consistently estimating critical values. We present some numerical evidence that our tests work well...

In this study we propose the use of the Student's t dependence function to model dependence between asset returns when conducting stress tests. To properly include stress testing in a risk management system, it is important to have accurate information about the (joint) probabilities of extreme...

Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. Thisfinding is typically interpreted in terms of a risk averse representativeinvestor with a cubic utility function. This comment questions...

This paper discusses statistical inference on the second-order stochastic dominance (SSD) efficiency of a given portfolio relative to all portfolios formed from a set of assets. We derive the asymptotic sampling distribution of the Post test statistic for SSD efficiency. Unfortunately, a test...