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:	2014
Authors:	Linton, Oliver ; Post, Thierry ; Yoon‐Jae Whang
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 17.2014, 2, p. 59-59
Publisher:	Royal Economic Society - RES

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011085156