Testing Stochastic Dominance Restrictions (in honour of the contribution of Professor Haim Levy)

Programme

Papers

Distributional Overlap: Simple, Multivariate, Parametric and Non-Parametric Tests for Alienation, Convergence and general distributional difference issues (Gordon Anderson, Ying Ge and Teng Wah Leo)

An Asset Allocation Puzzle-Prior Perspective and Posterior Resolution (James Bodurtha)

Subsampling Inference on Quantile Regression Processes (Victor Chernozhukov and Ivan Fernandez-Val)

A Nonparametric Test of Stochastic Dominance in Multivariate Distributions (Ian Crawford)

Multivariate Ordered Logit Regressions (Valentino Dardanoni)

Stochastic Dominance Option Bounds and Nth order Arbitrage Opportunities (James Huang)

Testing for Stochastic Dominance using Circular Block Methods (Hendrik Klaver)

Measuring Portfolio Efficiency of Mutual Funds (Timo Kuosmanen)

Bonds Vs. Stocks with Respect to Investors horizon: Stochastic Dominance Approach (Haim Levy)

International welfare comparisons and nonparametric testing of multivariate stochastic dominance (Brian McCaig and Adonis Yatchew)

Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio (Thierry Post)

Testing for Stochastic Dominance Efficiency (Olivier Scaillet and Nikolas Topaloglou)

Event

Testing Stochastic Dominance Restrictions (in honour of the contribution of Professor Haim Levy)

4 November 2005 - 5 November 2005

Organisers: Oliver Linton, Thierry Post

Speakers: Yoon-Jae Whang, Harry Markowitz, Haim Levy, Valentino Dardanoni, Ian Crawford, Gordon Anderson, Victor Chernozhukov, Brian McCaig, Thierry Post, Timo Kuosmanen, Olivier Scaillet, Hendrik Klaver, James Huang, James Bodurtha

Venue: The Institute for Fiscal Studies