Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s / Stochastische Dominanz von Renditen deutscher Aktien: Eine empirische Untersuchung für die 90er Jahre

Schmid Friedrich () and Mark Trede ()
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Schmid Friedrich: Seminar für Wirtschafts- und Sozialstatistik, Universität zu Köln, Albertus-Magnus-Platz, D-50923 Köln

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2000, vol. 220, issue 3, 315-326

Abstract: This note investigates the structure of dominance relations in daily returns of 32 German assets during the 1990s. We focus on stochastic dominance of first, second and third order but meanvariance and mean-Gini dominance is also considered. Efficient (i. e., nondominated) sets of assets are determined with respect to the various criteria. The investigation is purely nonparametric, i. e., based on the observed data alone. Parametric distributions or grouping is not used.

Keywords: Dominance criteria; asset returns; portfolio comparisons; nonparametric methods; Dominanzkriterien; Aktienrenditen; Portfoliovergleich; nichtparametrische Methoden (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:220:y:2000:i:3:p:315-326

DOI: 10.1515/jbnst-2000-0305

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