Hua Li

Northeast Normal University

Changchun

China

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Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 02 Oct 2010
Northeast Normal University, Northeast Normal University, Asia University, Department of Finance and Northeast Normal University
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Citation 8

Abstract:

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Prospect stochastic dominance, Markowitz stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function, test statistics, hypothesis testing