Stochastic dominance tests

被引：2
|
作者：
Topaloglou, Nikolas [1 ,2 ]
Tsionas, Mike G. [3 ]
机构：
[1] IPAG Business Sch, Paris, France
[2] Athens Univ Econ & Business, DIEES, 76 Patision St, GR-10434 Athens, Greece
[3] Univ Lancaster, Dept Econ, Management Sch, Lancaster LA1 4YX, England
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2020年 / 112卷
关键词：
Stochastic dominance; Prospect stochastic dominance; Markowitz stochastic dominance; Linear programming; Posterior analysis; Markov Chain Monte Carlo; PROSPECT-THEORY; PORTFOLIO CHOICE; VOLATILITY; UTILITY; INFERENCE; PRICES; ADO;
D O I：
10.1016/j.jedc.2020.103849
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop stochastic dominance tests of a given prospect compared with multiple choice alternatives. We account for all types of preferences. The tests are formulated in terms of linear as well as MIP models, and developed based on bayesian analysis, which relies on novel Markov Chain Monte Carlo procedures. Empirical results indicate that the market portfolio is Prospect stochastic dominance optimal. This implies that there are S-shaped utility functions that rationalize the market portfolio. (C) 2020 Elsevier B.V. All rights reserved.
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页数：22
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