2007-05-10
Advances in the Use of Stochastic Dominance in Asset Pricing
Publication
Publication
Ontwikkelingen in het gebruik van stochastische dominatie voor de prijsvorming van effecten
In the trade-off between risk and reward, modelling risk has always been a major problem. Traditionally, both gains and losses are assumed to contribute to risk equally, and in a rather rigid manner. Stochastic Dominance (SD) frees the model of these problematic assumptions and allows for a broad range of risk measures which are selected in a non-parametric way. This thesis proposes new tests for the SD-efficiency of a given portfolio (for various orders), a test for two-fund separation, and contains empirical work based on these tests.
| Additional Metadata | |
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| , , | |
| Post, Prof. Dr. G.T. (promotor) | |
| Thela Thesis, Amsterdam | |
| G.T. Post (Thierry) | |
| hdl.handle.net/1765/10033 | |
| Tinbergen Instituut Research Series | |
| Organisation | Erasmus School of Economics |
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Versijp, P. (2007). Advances in the Use of Stochastic Dominance in Asset Pricing. In Tinbergen Instituut Research Series (407).http://hdl.handle.net/1765/10033 |
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| Additional Files | |
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| PhD Thesis PJPM Versijp - Chapter 2.pdf Final Version , 284kb | |
| PhD Thesis PJPM Versijp - Chapter 3.pdf Final Version , 202kb | |
| PhD Thesis PJPM Versijp - Chapter 1.pdf Final Version , 196kb | |
| PhD Thesis PJPM Versijp - references.pdf Final Version , 155kb | |
| PhD Thesis PJPM Versijp - title page & preface.pdf Final Version , 121kb | |
| PhD Thesis PJPM Versijp - Chapter 5.pdf Final Version , 76kb | |
| PhD Thesis PJPM Versijp - back cover text.pdf , 56kb | |