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Testing for stochastic dominance efficiency

Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 169-180

Persistent link: https://www.econbiz.de/10003992828

Testing for stochastic dominance efficiency

Scaillet, Olivier (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003078845

Testing for stochastic dominance efficiency

Scaillet, Olivier (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003120505

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of econometrics 217 (2020) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10012482763

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2024

Persistent link: https://www.econbiz.de/10014485760

CVaR models with selective hedging for international asset allocation

Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: Journal of banking & finance 26 (2002) 7, pp. 1535-1561

Persistent link: https://www.econbiz.de/10001688719

Stochastic bounds for reference sets in portfolio analysis

Arvanitis, Stelios; Post, Thierry; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7737-7754

Persistent link: https://www.econbiz.de/10012815733

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 573-585

Persistent link: https://www.econbiz.de/10012178998

Testing for prospect and Markowitz stochastic dominance efficiency

Arvanitis, Stelios; Topaloglou, Nikolas - In: Journal of econometrics 198 (2017) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10011818790