کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481665 | 1446180 | 2008 | 10 صفحه PDF | دانلود رایگان |
This paper analyzes the dual formulation of Post’s [Post, T., 2003. Empirical tests for stochastic dominance efficiency. Journal of Finance 58, 1905–1932] test for second-order stochastic dominance (SSD) efficiency of a given investment portfolio relative to all possible portfolios formed from set of assets. In contrast to the earlier work, we (1) provide a direct proof for the dual that does not rely on expected utility theory, (2) adhere to the original definition of SSD, (3) phrase in terms of a general polyhedral portfolio possibilities set and (4) construct a SSD dominating benchmark portfolio from the optimal solution. To illustrate the dual SSD test, we apply the test to analyze the effect of short-selling restrictions on the profitability of momentum investment strategies.
Journal: European Journal of Operational Research - Volume 185, Issue 3, 16 March 2008, Pages 1564–1573