Spanning tests for Markowitz stochastic dominance
نویسندگان
چکیده
منابع مشابه
Prospect and Markowitz Stochastic Dominance
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend Levy and Levy’s Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the...
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Levy and Levy (2002, 2004) and others extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD (MSD) theory for investors with S-shaped and reverse S-shaped utility functions. Davidson and Duclos (2000) and others develop an SD test for risk averters while Wong, et al. (2007) develop an SD test for risk seekers. In this ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2020
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2019.12.005