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.
|Keywords||emerging markets, intersection, linear programming, spanning, stochastic dominance|
|Publisher||Erasmus Research Institute of Management (ERIM)|
Post, G.T.. (2001). Spanning and Intersection: a stochastic dominance approach (No. ERS-2001-63-F&A). Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/129