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