Hua Li

Northeast Normal University

Changchun

China

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Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

The Econometrics Journal, Vol. 14, Issue 2, pp. 278-303, 2011
Number of pages: 26 Posted: 08 Jun 2011
Northeast Normal University, Northeast Normal University, Northeast Normal University and Hong Kong Baptist University (HKBU)
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Abstract:

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