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G.T. Post (Thierry)

2001-11-06

Spanning and Intersection: a stochastic dominance approach

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Publication

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.

Additional Metadata
Keywords emerging markets, intersection, linear programming, spanning, stochastic dominance
JEL Econometric and Statistical Methods: Other (jel C19), Mathematical Methods and Programming: Other (jel C69), Corporate Finance and Governance (jel G3), Business Administration and Business Economics; Marketing; Accounting (jel M)
Publisher Erasmus Research Institute of Management
Persistent URL hdl.handle.net/1765/129
Series ERIM Report Series Research in Management
Rights Copyright 2001, G.T. Post, This report in the ERIM Report Series Research in Management is intended as a means to communicate the results of recent research to academic colleagues and other interested parties. All reports are considered as preliminary and subject to possibly major revisions. This applies equally to opinions expressed, theories developed, and data used. Therefore, comments and suggestions are welcome and should be directed to the authors.
Organisation Erasmus Research Institute of Management
Citation
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
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