Stochastic Dominance via Quantile Regression

来源 :中国数量经济学会 | 被引量 : 0次 | 上传用户：gklyliu

【摘要】

：

【作者】

：

Pin Ng Wing-Keung Wong Zhijie Xiao

【机构】

：

Franke College of Business Northern Arizona University

【出处】

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中国数量经济学会

【发表日期】

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2009年12期

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　　We derive a new way to test for stochastic dominance between the return of two assets using a quantile regression formulation.The test statistic is a variant of the one-sided Kolmogorov-Smirno statistic and has a limiting distribution of the standard Brownian bridge.We also illustrate how the test statistic can be extended to test for stochastic dominance among k assets.This is useful when comparing the perfor-mance of individual assets in a portfolio against some market index.

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Stochastic Dominance via Quantile Regression

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