Spanning and Intersection: A Stochastic Dominance Approach
20 Pages Posted: 26 Aug 2006
Date Written: June 2001, 11
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: Suggested Citation