Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton, Thierry Post and Yoon-Jae Whang

Econometrics Journal, 2014, vol. 17, issue 2, S59-S74

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: 2014
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Citations: View citations in EconPapers (23)

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http://hdl.handle.net/10.1111/ectj.12016

Related works:
Working Paper: Testing for the stochastic dominance efficiency of a given portfolio (2012)
Working Paper: Testing for the stochastic dominance efficiency of a given portfolio (2012)
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