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Testing for prospect and Markowitz stochastic dominance efficiency

dc.contributor.issuingbodyAthens University of Economics and Business, Department of Economicsel
dc.creatorArvanitis, Steliosen
dc.creatorTopaloglou, Nikolasen
dc.date.accessioned2025-03-26T19:39:28Z
dc.date.available2025-03-26T19:39:28Z
dc.date.issued03/13/2017
dc.date.submitted2017-03-13 15:48:20
dc.description.abstractWe develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ Monte Carlo experiments to assess the finite sample size and power of the tests. We use the tests to empirically establish whether the value-weighted market portfolio is the best choice of every individual with preferences exhibiting certain patterns of local attitudes towards risk. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the particular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead,we reject the hypothesis for Markowitz stochastic dominance, which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio.el
dc.embargo.expire2017-03-13 15:48:20
dc.embargo.ruleOpen access
dc.format.extent40 pages
dc.identifierhttp://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5296
dc.identifier.urihttps://pyxida.aueb.gr/handle/123456789/6518
dc.languageen
dc.rightsCC BY: Attribution alone 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectNon parametric testel
dc.subjectMarkowitz stochastic dominance efficiencyel
dc.subjectprospect stochastic dominance efficiencyel
dc.subjectsimplical complexel
dc.subjectextremal pointel
dc.titleTesting for prospect and Markowitz stochastic dominance efficiencyel
dc.typeText
dc.typeNonPeerReviewed

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