Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s Stochastische Dominanz von Renditen deutscher Aktien: Eine empirische Untersuchung fur die 90er Jahre

Jahrbucher fur Nationalokonomie und Statistik

Volumn 220, Issue 3, 2000, Pages 315-326

  Schmid, Friedrich ^a   Trede, Mark ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Asset returns; Dominance criteria; Nonparametric methods; Portfolio comparisons

Indexed keywords

EID: 0346976190     PISSN: 00214027     EISSN: None     Source Type: Journal    
DOI: 10.1515/jbnst-2000-0305     Document Type: Article

References (16)

1. Anderson, G. (1996), Nonparametric Tests of Stochastic Dominance in Income Distributions, Econometrica, Vol. 64, pp. 1183-1193.
2. Clay, D. G., J. B. McDonald (1995), An Empirical Comparison of Some Alternative Dominance Criteria, ASA Proceedings of the Business and Economic Statistics Section, 82-87.
3. Funke, M. (1994), Testing for Nonlinearity in Daily German Stock Returns, Allgemeines Statistisches Archiv, Bd. 78, S. 281-292.
4. Gastwirth, J. L., H. Rubin (1971), Effect of Dependence on the Level of Some One Sample Tests, Journal of the American Statistical Association, Vol. 66, pp. 816-820.
5. Hadar, J., W. R. Russell (1969), Rules for Ordering Uncertain Prospects, American Economic Review, Vol. 59, pp. 25-34.
6. Hanoch, G., H. Levy (1969), The Efficiency Analysis of Choices Involving Risk, Review of Economic Studies, Vol. 36, pp. 335-346.
7. Klecan, L., R. McFadden, D. McFadden (1991), A Robust Test for Stochastic Dominance, mimeo, MIT.
8. Levy, H. (1992), Stochastic Dominance and Expected Utility: Survey and Analysis, Management Science, Vol. 38, pp. 555-593.
9. Lütkepohl, H. (1997), Statistische Modellierung von Volatilitäten, Allgemeines Statistisches Archiv, Bd. 81, pp. 62-84.
10. Markowitz, H. M. (1952), Portfolio Selection, Journal of Finance, Vol. 7, pp. 77-91.
11. Porter, R. B., J. E. Gaumnitz (1972), Stochastic Dominance vs. Mean-Variance Portfolio Analysis: An Empirical Evaluation, American Economic Review, Vol. 62, pp. 438-446.
12. Tobin, J. (1958), Liquidity Preferences as Behavior Toward Risk, Review of Economic Studies, Vol. 25, pp. 65-86.
13. Whitmore, G. A. (1970), Third Degree Stochastic Dominance, American Economic Review, Vol. 60, pp. 457-459.
14. Whitmore, G. A., M. C. Findlay (Eds.) (1978), Stochastic Dominance: An Approach to Decision-Making Under Risk, Lexington Books, Toronto.
15. Wrather, C., P. L. Yu (1982), Probability Dominance in Random Outcomes, Journal of Optimization Theory and Applications, Vol. 36, pp. 315-334.
16. Yitzhaki, S. (1982), Stochastic Dominance, Mean Variance, and Gini's Mean Difference, American Economic Review, Vol. 72, pp. 178-185.