Spanning and Intersection: a stochastic dominance approach
2001-11-06
Research Paper
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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.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- 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
Automatically Extracted Terms
- asset
- portfolio
- investor
- return
- intersection
- possibility
- distribution
- index
- analysis
- market
- research
- msci usa index
- benchmark
- management
- investment
- condition
- sampling
- application
- utility
- restriction
