Empirical Tests for Stochastic Dominance Efficiency

Journal of Finance

Volumn 58, Issue 5, 2003, Pages 1905-1932

  Post, Thierry ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142219308     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00592     Document Type: Review

References (51)

1. Afriat, Sydney N., 1967, The construction of a utility function from expenditure data, International Economic Review 8, 67-77.
2. Arrow, Kenneth, 1971, Essays in the Theory of Risk-Bearing (North-Holland Publishing Company, Amsterdam).
3. Bawa, Vijay, James Bodurtha Jr., M. R. Rao, and Hira Suri, 1985, On determination of stochastic dominance optimal sets, Journal of Finance 40, 417-431.
4. Beach, Charles, and Russell Davidson, 1983, Distribution-free statistical inference with Lorenz curves and income shares, Review of Economic Studies 50, 723-735.
5. Bowden, Roger, 2000, The ordered mean difference as a portfolio performance measure, Journal of Empirical Finance 7, 195-223.
6. Breeden, Douglas T., Michael R. Gibbons, and Robert H. Litzenberger, 1989, Empirical tests of the consumption-oriented CAPM, Journal of Finance 44, 231-262.
7. Chvatal, Vasek, 1983, Linear Programming (Freeman, New York).
8. Dardanoni, Valentino, and Antonio Forcina, 1999, Inference for the Lorenz curve orderings, Econometrics Journal 2, 49-75.
9. Davidson, Russell, and Jean-Yves Duclos, 2000, Statistical inference for stochastic dominance and for the measurement of poverty and inequality, Econometrica 68, 1435-1464.
10. Debreu, Gerard, 1951, The coefficient of resource utilization, Econometrica 19, 273-292.
11. Dybvig, Phillip, and Stephen Ross, 1982, Portfolio efficient sets, Econometrica 50, 1525-1546.
12. Efron, Bradley, 1979, Bootstrap methods: Another look at the jackknife, Annals of Statistics 7, 1-26.
13. Efron, Bradley, 1987, Better bootstrap confidence intervals, Journal of the American Statistical Association 82, 171-200.
14. Efron, Bradley, and Gail Gong, 1983, A leisurely look at the bootstrap, the jackknife, and cross validation, The American Statistician 37, 36-48.
15. Farrell, Michael J., 1957, The measurement of productive efficiency, Journal of the Royal Statistical Society Series A 120, 253-281.
16. Fishburn, Peter C., 1974, Convex stochastic dominance with continuous distribution functions, Journal of Economic Theory 7, 143-158.
17. Freedman, David A., 1981, Bootstrapping regression methods, Annals of Statistics 9, 1218-1228.
18. Genz, Alan, and Koon-Shing Kwong, 2000, Numerical evaluation of singular multivariate normal distributions, Journal of Statistical Computational and Simulation 68, 1-21.
19. Ghysels, Eric, 1998, On stable factor structures in the pricing of risk: Do time-varying betas help or hurt?, Journal of Finance 53, 549-573.
20. Gibbons, Michael R., Stephen A. Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152.
21. Green, Richard C., and Sanjay Srivastava, 1985, Risk aversion and arbitrage, Journal of Finance 40, 257-268.
22. Green, Richard C., and Sanjay Srivastava, 1986, Expected utility maximization and demand behavior, Journal of Economic Theory 38, 313-323.
23. Hadar, Josef, and William R. Russell, 1969, Rules for ordering uncertain prospects, American Economic Review 59, 25-34.
24. Hanoch, Giora, and Haim Levy, 1969, The efficiency analysis of choices involving risk, Review of Economic Studies 36, 335-346.
25. Hiriart-Urruty, Jean-Baptiste, and Claude Lemaréchal, 1993, Convex Analysis and Minimization Algorithms I&II (Springer Verlag, Berlin).
26. Huang, Chi-fu, and Robert H. Litzenberger, 1988, Foundations for Financial Economics (North Holland, Amsterdam).
27. Huberman, Gur, and Shmuel Kandel, 1987, Mean-variance spanning, Journal of Finance 42, 873-888.
28. Kandel, Shmuel, and Robert Stambaugh, 1987, On correlations and inferences about mean variance efficiency, Journal of Financial Economics 18, 61-90.
29. Kandel, Shmuel, and Robert Stambaugh, 1989, A mean-variance framework for tests of asset pricing models, Review of Financial Studies 2, 125-156.
30. Kroll, Yoram, and Haim Levy, 1980, Sampling errors and portfolio efficient analysis, Journal of Financial and Quantitative Analysis 15, 655-688.
31. Kroll, Yoram, Haim Levy, and Harry Markowitz, 1984, Mean variance versus direct utility maximization, Journal of Finance 39, 47-61.
32. Kuntz, Ludwig, and Stefan Scholtes, 2000, Measuring the robustness of empirical efficiency valuations, Management Science 46, 807-823.
33. Kuosmanen,Timo, 2001, Stochastic dominance efficiency tests under diversification, Working paper W-283, Helsinki School of Economics.
34. Levy, Haim, 1992, Stochastic dominance and expected utility: Survey and analysis, Management Science 38, 555-593.
35. Levy, Haim, 1998, Stochastic Dominance (Kluwer Academic Publishers, Norwell, MA).
36. Machina, Mark J., 1982, Expected utility analysis without the independence axiom, Econometrica 50, 277-323.
37. Mangasarian, Olvi L., 1969, Nonlinear Programming (McGraw-Hill, New York).
38. Nelson, Ray D., and Rulon Pope, 1991, Bootstrapped insights into empirical applications of stochastic dominance, Management Science 37, 1182-1194.
39. Rothschild, Michael, and Joseph E. Stiglitz, 1970, Increasing risk I: A definition, Journal of Economic Theory 2, 225-243.
40. Shalit, Haim, and Shlomo Yitzhaki, 1994, Marginal conditional stochastic dominance, Management Science 39, 670-684.
41. Sharpe, William, 1991, Capital asset prices with and without negative holdings, Journal of Finance 64, 489-509.
42. Simar, Leopold, and Paul Wilson, 1998, Sensitivity analysis of efficiency scores: How to bootstrap in non-parametric frontier models, Management Science 44, 49-61.
43. Sion, Maurice, 1958, On general minimax theorems, Pacific Journal of Mathematics 8, 171-176.
44. Starmer, Chris, 2000, Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk, Journal of Economic Literature 38, 332-382.
45. Stein, William, and Roger Pfaffenberger, 1986, Estimation of error probabilities in stochastic dominance, Journal of Statistical Computation and Simulation 25, 137-165.
46. Varian, Hal, 1982, The non-parametric approach to demand analysis, Econometrica 50, 945-973.
47. Varian, Hal, 1983, Nonparametric tests of models of investor behavior, Journal of Financial and Quantitative Analysis 18, 269-278.
48. Whitmore, G. Alexander, 1970, Third-degree stochastic dominance, American Economic Review 60, 457-459.
49. Yamakazi, Hiroaki, and Hiroshi Konno, 1991, Mean absolute deviation portfolio optimization model and its application to Tokyo stock market, Management Science 37, 519-531.
50. Yitzhaki, Shlomo, 1982, Stochastic dominance mean-variance, and Gini's mean difference, American Economic Review 72, 178-185.
51. Young, Martin, 1998, A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683.