Spanning tests for markowitz stochastic dominance
ContributorsArvanitis, Stelios; Scaillet, Olivier
; Topaloglou, Nikolas
Publication date2018
Abstract
Keywords
- Saddle-Type Point
- Markowitz Stochastic Dominance
- Spanning Test
- Linear and Mixed integer programming
- Reverse S-shaped utility
Classification
- JEL : C12
Affiliation entities
Research groups
Citation (ISO format)
ARVANITIS, Stelios, SCAILLET, Olivier, TOPALOGLOU, Nikolas. Spanning tests for markowitz stochastic dominance. 2018