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英文文献：Testing for Prospect and Markowitz stochastic dominance efficiency
英文文献作者：Stelios Arvanitis,Nikolas Topalogou
英文文献摘要：
We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are a symptotically conservative and consistent. We employ Monte Carlo experiments to assess the finite sample size and power of the tests. We use the tests to empirically establish whether the value-weighted market portfolio is the best choice of every individual with preferences exhibiting certain patterns of local attitudes to- wards risk. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the par- ticular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead,we reject the hypothesis forMarkowitz stochastic dominance,which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio.
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