Empirical tests for stochastic dominance efficiency
Article Abstract:
Straightforward linear programming is used to derive empirical tests for a given portfolioEs stochastic dominance efficiency. Asymptotic distribution theory and bootstrapping techniques approximate test results sampling properties; implications for portfolio evaluation and selection are discussed.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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Evaluation periods and asset prices in a market experiment
Article Abstract:
A greater amount of available information about the risks involved in an investment will cause investors to less readily accept that investment in their portfolios and cause its price to decrease, according to this study.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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Systemic risk and international portfolio choice
Article Abstract:
The existence of jumps in international equity returns which leads to systematic risk in international portfolio choice is analyzed by using a multivariate jump-diffusion process.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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