Spanning and Intersection: a stochastic dominance approach

Thierry Post

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We propose linear programming tests for spanning and intersection based on stochastic dominance rather than mean-variance analysis. An empirical application investigates the diversification benefits to US investors from emerging equity markets.

Keywords: emerging markets; intersection; linear programming; spanning; stochastic dominance (search for similar items in EconPapers)
JEL-codes: C19 C69 G3 M (search for similar items in EconPapers)
Date: 2001-11-06
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:129

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