Testing for the stochastic dominance efficiency of a given portfolio

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.

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Year of publication:	2012-09
Authors:	Linton, Oliver ; Whang, Yoon-Jae
Institutions:	Centre for Microdata Methods and Practice (CEMMAP)

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Extent:	application/pdf
Series:	CeMMAP working papers.
Type of publication:	Book / Working Paper
Notes:	Number CWP27/12
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010575247