Post, Post, G.T.; Versijp, Versijp, P.J.P.M. - Erasmus Research Institute of Management (ERIM), … - 2004
We develop an empirical test for Second-order Stochastic Dominance (SSD) efficiency of a given investment portfolio relative to all possible portfolios formed from a set of assets. Contrary to the Linear Programming test of Post, Thierry, 2003, Empirical tests for stochastic dominance...
