Testing foe Stochastic Dominance Efficiency

Nikolas Topaloglou, Olivier Scaillet and University of Geneva

No 74, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear and mixed integer programming methods. The empirical application shows that the Fama and French market portfolio is FSD and SSD efficient, although it is mean-variance inefficient

Date: 2006-07-04
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Related works:
Journal Article: Testing for Stochastic Dominance Efficiency (2010)
Working Paper: Testing for Stochastic Dominance Efficiency (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:74

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