Search Results - subject:"Markowitz stochastic dominance"

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

. First, we define the concept of Markowitz stochastic dominance spanning, and develop an analytical representation of the … investors driven by Markowitz stochastic dominance. In an application to standard data sets of historical stock market returns …

Persistent link: https://www.econbiz.de/10011877232

Stochastic dominance tests

Topaloglou, Nikolas; Tsionas, Efthymios G. - In: Journal of economic dynamics & control 112 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012502317

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of econometrics 217 (2020) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10012482763

Testing for prospect and Markowitz stochastic dominance efficiency

Arvanitis, Stelios; Topaloglou, Nikolas - In: Journal of econometrics 198 (2017) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10011818790

Prospect and Markowitz Stochastic Dominance

Wong, Wing-Keung; Chan, Raymond H. - Department of Economics, National University of Singapore - 2005

Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S … Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S …

Persistent link: https://www.econbiz.de/10005518288

Prospect and Markowitz Stochastic Dominance

Wong, Wing-Keung; Chan, Raymond H. - Department of Econometrics and Business Statistics, … - 2005

Persistent link: https://www.econbiz.de/10005064061

Prospect and Markowitz stochastic dominance

Wong, W.; Chan, R. - In: Annals of Finance 4 (2008) 1, pp. 105-129

Persistent link: https://www.econbiz.de/10005701353

Prospect Theory: Much Ado About Nothing?

Levy, Moshe; Levy, Haim - In: Management Science 48 (2002) 10, pp. 1334-1349

developed investment criteria called Prospect Stochastic Dominance (PSD) and Markowitz Stochastic Dominance (MSD). We reject the …

Persistent link: https://www.econbiz.de/10009198177