Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton and Yoon-Jae Whang

No CWP27/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: We propose a new statistical 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.

Date: 2012-09-21
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Testing for the stochastic dominance efficiency of a given portfolio (2014)
Working Paper: Testing for the stochastic dominance efficiency of a given portfolio (2012)
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