Empirical Tests for Stochastic Dominance Efficiency

By Thierry Post. 2003

309 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/43e7ab5cfe14a65ee0078d95d6da77b96ce2e876

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Citations in the corpus

Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs (2005, methodology): “14 This section extends Post's (2003) Theorem 3 for SSD, and it exploits the result that ~ (r, T) is bounded from above by co(r) = max {?,,o(xi, - xr)/T}(see the proof in the Appendix).”
Downside risk and asset pricing (2004, methodology): “Post (2003) derived the asymptotic sampling distribution of his SSD test statistic under the null hypothesis that all assets have the same mean, that is, , .”
Consistent Testing for Stochastic Dominance Under General Sampling Schemes (2005, unknown): “observations, Tse and Zhang (2000) have provided some Monte Carlo evidence on the power of the alternative tests proposed by Davidson and Duclos (2000), the “DD test”, and Anderson (1996).”
International momentum strategies: a stochastic dominance approach (2005, methodology): “In finance, the stochastic dominance approach has been used to study option pricing (Levy, 1985), the small-firm effect (Seyhun, 1993) and portfolio selection (Post, 2003).”
Prospect and Markowitz stochastic dominance (2007, methodology): “These days, it is popular to apply SD to explain financial theories and anomalies, for example, McNamara (1998), Post and Levy (2005), Post (2003), Kuosmanen (2004), Fong et al. (2005) and Broll et al. (2006).”
Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio (2007, methodology): “10By contrast, Post (2003) sets the sample minimum of marginal utility to equal unity, reflecting his assumption of strictly (rather then weakly) increasing utility.”
A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion (2009, methodology): “This class is reminiscent of the representative utility functions used by Russell and Seo (1989) to test pairwise FSD relationship.”
Stochastic Dominance Analysis of iShares (2007, methodology): “Post (2003) uses the value-weighted average of all NYSE, AMEX and Nasdaq stocks in a Fama-French (1995) type of analysis using stochastic dominance. He finds the markets are inefficient in second order stochastic dominance and his results indicate that the inefficiency is both economically and stati”
Testing for Stochastic Dominance Efficiency (2010, methodology): “However the approach suggested by Post (2003) based on the bootstrap is valid (see Nelson and Pope 1992 for an early use of bootstrap in stochastic dominance tests).”
Are there Monday effects in stock returns: a stochastic dominance approach (2007, background): “2 grounds, as is well explained in Levy (2006), see also Post (2003).”