Testing for Stochastic Dominance Efficiency

Thierry Post, Oliver Linton and Yoon-Jae Whang

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We propose a new test of the stochastic dominance efficiency of a given portfolio over a class of portfolios. We establish its null and alternative asymptotic properties, and define a method for consistently estimating critical values. We present some numerical evidence that our tests work well in moderate sized samples.

Keywords: asset pricing; portfolio analysis; portfolio diversification; stochastic dominance (search for similar items in EconPapers)
JEL-codes: C19 G12 G3 M (search for similar items in EconPapers)
Date: 2005-06-28
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Citations: View citations in EconPapers (3)

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