Template-Type: ReDIF-Paper 1.0
Author-Name: Post, G.T.
Author-Name-Last: Post
Author-Name-First: Thierry
Title: Spanning and Intersection: a stochastic dominance approach
Abstract: 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.
Creation-Date: 2001-11-06
File-URL: https://repub.eur.nl/pub/129/erimrs20011106162256.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2001-63-F&A
Classification-JEL: C19, C69, G3, M
Keywords: emerging markets, intersection, linear programming, spanning, stochastic dominance
Handle: RePEc:ems:eureri:129