2002-02-05
Testing for Third-Order Stochastic Dominance with Diversification Possibilities
Publication
Publication
We derive an empirical test for third-order stochastic dominance that allows for diversification between choice alternatives. The test can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our approach is illustrated using real-life US stock market data.
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Erasmus Research Institute of Management | |
hdl.handle.net/1765/164 | |
ERIM Report Series Research in Management | |
Organisation | Erasmus Research Institute of Management |
Post, T. (2002). Testing for Third-Order Stochastic Dominance with Diversification Possibilities (No. ERS-2002-02-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/164 |