Spanning and Intersection: A Stochastic Dominance Approach

20 Pages Posted: 26 Aug 2006

See all articles by Thierry Post

Thierry Post

Graduate School of Business of Nazarbayev University

Date Written: June 2001, 11

Abstract

We propose linear programming tests for spanning and intersection based on stochasticdominance rather than mean-variance analysis. An empirical application investigates thediversification benefits to US investors from emerging equity markets.

Keywords: spanning, intersection, stochastic dominance, linear programming, emerging markets

JEL Classification: M, G3, C69, C19

Suggested Citation

Post, Thierry, Spanning and Intersection: A Stochastic Dominance Approach (June 2001, 11). ERIM Report Series Reference No. ERS-2001-63-F&A. Available at SSRN: https://ssrn.com/abstract=370923

Thierry Post (Contact Author)

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

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