Spanning and Intersection: a stochastic dominance approach
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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.
- C69 : Mathematical Methods and Programming: Other
- G3 : Corporate Finance and Governance
- M : Business Administration and Business Economics; Marketing; Accounting
- C19 : Econometric and Statistical Methods: Other
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