Conditional Stochastic Dominance Test: Mixed Integer Linear Programming Approach

330;

사회과학대학 경제학부 ;

University:서울대학교 대학원

关键词: 330;   

Others  :  http://s-space.snu.ac.kr/bitstream/10371/143726/1/000000153013.pdf

美国|英语

来源: Seoul National University Open Repository

【 摘 要 】

A sup-type Conditional Stochastic Dominance test can be formulated as a Mixed Integer Linear Programming problem. In this novel approach, computation of the test statistic can be done about 10 or more times faster. Investigating once computationally infeasible region in the past is now possible.