International momentum strategies: a stochastic dominance approach

A stochastic dominance approach to financial risk management strategies ¬リニ

The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily capital charges (DCC) and associa...

Climate Change: a Stochastic Dominance Approach

Global climate change presents a classic problem of decision making under uncertainty with learning. We provide stochastic dominance theorems that provide new insights into when abatement and investment into low carbon technology should increase in risk. We show that R&D into lowcarbon technologies and near-term abatement are in some sense opposites in terms of risk. Abatement provides insuranc...

Spanning and Intersection: A Stochastic Dominance Approach

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. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) HG 1576+ Statistics Ba...

A Stochastic Dominance Approach to Spanning

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings sugges...

Regional Convergence in the European Union: A Stochastic Dominance Approach