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Conditional Stochastic Dominance Test: Mixed Integer Linear Programming Approach
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- Authors
- Advisor
- 서명환
- Major
- 사회과학대학 경제학부
- Issue Date
- 2018-08
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 사회과학대학 경제학부, 2018. 8. 서명환.
- Abstract
- 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.
- Language
- English
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