Stochastic dominance tests

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2020
Volume: 112
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop stochastic dominance tests of a given prospect compared with multiple choice alternatives. We account for all types of preferences. The tests are formulated in terms of linear as well as MIP models, and developed based on bayesian analysis, which relies on novel Markov Chain Monte Carlo procedures. Empirical results indicate that the market portfolio is Prospect stochastic dominance optimal. This implies that there are S-shaped utility functions that rationalize the market portfolio.

Technical Details

RePEc Handle
repec:eee:dyncon:v:112:y:2020:i:c:s0165188920300191
Journal Field
Macro
Author Count
2
Added to Database
2026-01-29