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Author : Hendrik Kläver
Publisher :
ISBN 13 : 9783832249991
Total Pages : 183 pages
Book Rating : 4.2/5 (499 download)
Download or read book Tests of Stochastic Dominance for Time Series Data written by Hendrik Kläver and published by . This book was released on 2006 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Testing for Stochastic Dominance written by Oliver B. Linton and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.
Author : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108690475
Total Pages : 279 pages
Book Rating : 4.1/5 (86 download)
Download or read book Econometric Analysis of Stochastic Dominance written by Yoon-Jae Whang and published by Cambridge University Press. This book was released on 2019-01-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
Author : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108472796
Total Pages : 279 pages
Book Rating : 4.1/5 (84 download)
Download or read book Econometric Analysis of Stochastic Dominance written by Yoon-Jae Whang and published by Cambridge University Press. This book was released on 2019-01-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive analysis of stochastic dominance through coverage of concepts, methods of estimation, inferential tools, and applications.
Author : Ian Crawford
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (595 download)
Download or read book Nonparametric Tests of Stochastic Dominance in Byvariate Distributions, with an Application to UK Data written by Ian Crawford and published by . This book was released on 2000 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ian A. Crawford
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (142 download)
Download or read book Nonparametric Tests of Stochastic Dominance in Bivariate Distributions with an Application to UK Data written by Ian A. Crawford and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Post
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation (as well as other choice problems under uncertainty that involve diversification possibilities). An empirical application for US stock market data illustrates our approach.
Author : Yoon-Jae Whang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)
Download or read book Consistent Testing for Stochastic Dominance written by Yoon-Jae Whang and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Post
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Third-Order Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an empirical test for third-order stochastic dominance that allows fordiversification between choice alternatives. The test can be computed usingstraightforward linear programming. Bootstrapping techniques and asymptoticdistribution theory can approximate the sampling properties of the test results and allowfor statistical inference. Our approach is illustrated using real-life US stock market data.
Author : Kyungho Lee
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (132 download)
Download or read book Testing for Time Stochastic Dominance written by Kyungho Lee and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Post
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests for Stochastic Dominance Optimality written by Thierry Post and published by . This book was released on 2018 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: If a given risky prospect is compared with multiple choice alternatives, then a joint test for optimality is more appropriate than a series of pairwise Stochastic Dominance tests. We develop and implement a bootstrap empirical likelihood ratio test for this hypothesis. The test statistic and implied probabilities can be computed by searching over discrete distributions that obey a system of linear inequalities using quasi-Monte Carlo simulation and convex optimization methods. An extension of the Kroll-Levy simulation experiment shows favorable small-sample properties for data sets of realistic dimensions. In an application to Fama-French stock portfolios, pairwise tests classify a portfolio of small growth stocks as admissible, whereas our test classifies the portfolio as significantly non-optimal for every risk averter.
Author : Ludmyla Rekeda
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (861 download)
Download or read book Statistical Tests for Stochastic Dominance written by Ludmyla Rekeda and published by . This book was released on 2006 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stylianos Perrakis
Publisher : Springer
ISBN 13 : 3030115909
Total Pages : 277 pages
Book Rating : 4.0/5 (31 download)
Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Testing for Stochastic Dominance Under General Sampling Schemes written by Oliver B. Linton and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting tests are consistent and powerful against some N -½ local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentring the test statistic and using full sample bootstrap methods. We compare the two methods in theory and in practice.
Author : Jatikumar Sengupta
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Portfolio Efficiency Tests Based on Stochastic Dominance and Cointegration written by Jatikumar Sengupta and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wing-kuen Tam
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (89 download)
Download or read book Distinguishing Stochastic from Deterministic Seasonality in Time Series Analysis written by Wing-kuen Tam and published by . This book was released on 1996 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gagari Chakrabarti
Publisher : Springer
ISBN 13 : 8132220269
Total Pages : 110 pages
Book Rating : 4.1/5 (322 download)
Download or read book Green Investing written by Gagari Chakrabarti and published by Springer. This book was released on 2014-08-28 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book seeks to answer the essential question of the investment-worthiness of green instruments. It is evident that investing in green and energy-efficient firms will be the most profitable choice for wise investors in the years to come. The reconciliation of the social choice for green technology and investors’ choice for gray technology will be automatically achieved once green firms become more profitable than gray ones, in the Indian context. As there has been very little research done in this area, especially in the Indian context, this book addresses that gap. In order to do so, it follows the development of five different portfolios consisting of 100% green, 75% green-25% gray, 50% green-50% gray, 25% green-75% gray and 100% gray stocks, and attempts to answer questions such as: Do green portfolios entail less relative own-risk as compared to their gray counterparts? How effectively do green portfolios avoid market risk? Are green portfolios inherently more stable? Do green portfolios have a higher probability of surviving a financial crisis? Is the performance of green portfolios backed by their fundamentals? Is there any particular technical trading strategy that can ensure a consistently above-average return from these portfolios?
