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- W3003669693 abstract "We develop stochastic dominance tests of a given prospect compared with multiple choice alternatives. We account for all types of preferences. The tests are formulated in terms of linear as well as MIP models, and developed based on bayesian analysis, which relies on novel Markov Chain Monte Carlo procedures. Empirical results indicate that the market portfolio is Prospect stochastic dominance optimal. This implies that there are S-shaped utility functions that rationalize the market portfolio." @default.
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- W3003669693 date "2020-03-01" @default.
- W3003669693 modified "2023-09-24" @default.
- W3003669693 title "Stochastic dominance tests" @default.
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- W3003669693 doi "https://doi.org/10.1016/j.jedc.2020.103849" @default.
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