Testing for Third-Order Stochastic Dominance with Diversification Possibilities
نویسنده
چکیده
We derive an empirical test for third-order stochastic dominance that allows for diversification between choice alternatives.The test can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our approach is illustrated using real-life US stock market data. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) QA 276-280 Mathematical statistics M Business Administration and Business Economics G 3 Corporate Finance and Governance Journal of Economic Literature (JEL) C 19 Econometric and Statistical methods: other 85 A Business General 220 A Financial Management European Business Schools Library Group (EBSLG) 220 D Statistische analyse Gemeenschappelijke Onderwerpsontsluiting (GOO) 85.00 Bedrijfskunde, Organisatiekunde: algemeen 85.30 Financieel management, financiering Classification GOO 85.03 Methoden en technieken Bedrijfskunde / Bedrijfseconomie Financieel management, bedrijfsfinanciering, besliskunde
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