Testing for Stochastic Dominance Efficiency

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.

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Year of publication:	2005-06-28
Authors:	Post, G.T. ; Linton, O. ; Whang, Y-J.
Institutions:	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.
Subject:	stochastic dominance \| portfolio diversification \| asset pricing \| portfolio analysis

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Extent:	application/pdf
Series:	Research Paper. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureri Number ERS-2005-033-F&A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005288766