Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests-Reference-Cited by-同舟云学术

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Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests

Published:2021-03-22 Issue: Volume: Page:1-13
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Anyfantaki Sofia¹,Maasoumi Esfandiar²,Ren Jue³,Topaloglou Nikolas⁴

Affiliation:

1. Economic Analysis & Research Department, Bank of Greece, Athens, Greece;

2. Department of Economics, Emory University, Atlanta, GA;

3. Neeley School of Business, Texas Christian University, Fort Worth, TX;

4. IPAG Business School & Department of International European and Economic Studies, Athens University of Economics and Business, Athens, Greece

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1888741

Reference47 articles.

1. Arvanitis, S. (2015), “Saddle-Type Functionals for Continuous Processes With Applications to Tests for Stochastic Spanning,” available at SSRN 2693562.

2. Arvanitis, S., Post, T., and Topaloglou, N. (2020), “Stochastic Bounds for Reference Sets in Portfolio Analysis,”Management Science(forthcoming).

3. Testing for prospect and Markowitz stochastic dominance efficiency

4. Measuring skill in the mutual fund industry

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1. GDP-linked bonds as a new asset class;Quantitative Finance;2024-08-30

2. Sparse spanning portfolios and under-diversification with second-order stochastic dominance;SSRN Electronic Journal;2024

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