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.

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Erasmus Research Institute of Management
hdl.handle.net/1765/129
ERIM Report Series Research in Management
Erasmus Research Institute of Management

Post, T. (2001). Spanning and Intersection: a stochastic dominance approach (No. ERS-2001-63-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/129