Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton; Yoon-Jae Whang

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.

Year of publication:	2012
Authors:	Linton, Oliver ; Whang, Yoon-jae
Publisher:	London : Centre for Microdata Methods and Practice
Subject:	Stochastischer Prozess \| Stochastic process \| Statistischer Test \| Statistical test

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