Test statistics for prospect and Markowitz stochastic dominances with applications

Econometrics Journal

Volumn 14, Issue 2, 2011, Pages 278-303

  Bai, Zhidong ^a   Li, Hua ^a   Liu, Huixia ^a,b   Wong, Wing Keung ^c  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Hypothesis testing; Markowitz stochastic dominance; Prospect stochastic dominance; Risk averse; Risk seeking; RS shaped utility function; S shaped utility function; Test statistics

Indexed keywords

EID: 79958273750     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2011.00348.x     Document Type: Article

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