NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Jack Meyer

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NBER Working Papers and Publications

March 1989Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock
with Robert H. Rasche: t0076
If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify relationships among, the distribution functions. A particularly useful restriction is one which requires that elements in the choice set, when normalized to have a zero mean and unit variance, be identically distributed. No restriction is placed on the form of any individual distribution function. This research empirically tests for this and other useful restrictions on the relationships among the elements of a set of random variables. Observations from the random variables are used to test whether or not th...

Published: Meyer, J., and Rasche, R. H., 1992, "Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition," The Economic Journal 102 (410), 91–106. 1992

 
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