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
Keywords asset pricing, non-parametric methods, stochastic dominance
Promotor Post, G.T. (Thierry)
Publisher Thela Thesis, Amsterdam
Sponsor Post, Prof. Dr. G.T. (promotor)
ISBN 978-905170-935-3
Persistent URL hdl.handle.net/1765/10033
Citation
Versijp, P.J.P.M.. (2007, May 10). Advances in the Use of Stochastic Dominance in Asset Pricing. Thela Thesis, Amsterdam. Retrieved from http://hdl.handle.net/1765/10033