This study proposes a test for mean-variance efficiency of a given portfolio under general linear investment restrictions. We introduce a new definition of pricing error or “alpha†and as an efficiency measure we propose to use the largest positive alpha for any vertex of the portfolio...

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...