Empirical tests for stochastic dominance efficiency

Article Abstract:

Straightforward linear programming is used to derive empirical tests for a given portfolioEs stochastic dominance efficiency. Asymptotic distribution theory and bootstrapping techniques approximate test results sampling properties; implications for portfolio evaluation and selection are discussed.

Netherlands, Comparative analysis, Probabilities, Probability theory

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Evaluation periods and asset prices in a market experiment

Article Abstract:

A greater amount of available information about the risks involved in an investment will cause investors to less readily accept that investment in their portfolios and cause its price to decrease, according to this study.

Science & research, Research, Behavior, Investors, Risk perception

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Systemic risk and international portfolio choice

Article Abstract:

The existence of jumps in international equity returns which leads to systematic risk in international portfolio choice is analyzed by using a multivariate jump-diffusion process.

United States, Capital funds & cash flow, Analysis, Evaluation, Stocks, Risk (Economics), Stock prices, Valuation, Equity (Finance)

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