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G.T. Post (Thierry)

2002-02-05

A Stochastic Dominance Approach to Spanning

Publication

Publication

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings suggest that the previously observed January effect is remarkably robust with respect to simplifying assumptions regarding the return distribution.

Additional Metadata
Keywords linear programming, portfolio evaluation, portfolio selection, spanning, stochastic dominance
JEL Econometric and Statistical Methods: Other (jel C19), 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/1765/163
Series ERIM Report Series Research in Management
Rights Copyright 2002, 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. (2002). A Stochastic Dominance Approach to Spanning (No. ERS-2002-01-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/163
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