Post, G.T.; Linton, O.; Whang, Y-J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
Keywords Stochastic Dominance, Portfolio Diversification, Asset Pricing, Portfolio Analysis
Availability The ERIM Report … the cross-section is reduced to for example ten benchmark portfolios, which is a common
choice in asset pricing tests … distribution can severely bias
the results of unconditional asset pricing tests (see for instance Jagannathan and Wang (1996 …