The stochastic dominance efficiency of the mean-variance frontier
This paper examines the second-degree stochastic dominance (SSD) efficiency of the portfolios on the mean-variance (EV) frontier. By applying Post's linear programming tests to our weekly and monthly data of a sample of U.S. equity funds, we find that the higher portion of the EV frontier is SS...
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| Format: | Others |
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2006
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| Online Access: | http://spectrum.library.concordia.ca/8849/1/MR14379.pdf Tao, Mingli <http://spectrum.library.concordia.ca/view/creators/Tao=3AMingli=3A=3A.html> (2006) The stochastic dominance efficiency of the mean-variance frontier. Masters thesis, Concordia University. |