Testing for Stochastic Dominance Efficiency

We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in moderate sized samples

Year of publication:	[2012]
Authors:	Linton, Oliver
Other Persons:	Post, Thierry (contributor) ; Whang, Yoon-jae (contributor)
Publisher:	[2012]: [S.l.] : SSRN

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