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.

Additional Metadata
Keywords asset pricing, non-parametric methods, stochastic dominance
Promotor G.T. Post (Thierry)
Publisher Thela Thesis, Amsterdam
Sponsor Post, Prof. Dr. G.T. (promotor)
ISBN 978-90-5170-935-3
Persistent URL hdl.handle.net/1765/10033
Series Tinbergen Instituut Research Series
Citation
Versijp, P.J.P.M. (2007, May 10). Advances in the Use of Stochastic Dominance in Asset Pricing (No. 407). Tinbergen Instituut Research Series. Thela Thesis, Amsterdam. Retrieved from http://hdl.handle.net/1765/10033