EUR > Economics & Management > ESE > View Doctoral Thesis
http://hdl.handle.net/1765/10033
isbn: 978-905170-935-3
series: Tinbergen Institute Research Series No. 407

Advances in the Use of Stochastic Dominance in Asset Pricing

(Ontwikkelingen in het gebruik van stochastische dominatie voor de prijsvorming van effecten)


Doctoral Thesis
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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.


Supervisor (promotor):

Prof. Dr. Post, G.T.

The author wishes to thank:

Post, Prof. Dr. G.T. (promotor)


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