This study formulates portfolio analysis in terms of Stochastic Dominance, Relative Entropy and Empirical Likelihood. We define a portfolio inefficiency measure based on the divergence between given probabilities and the nearest probabilities that rationalize a given portfolio for some...

This paper develops a novel statistic for firm efficiency called efficiency depth that allows for statistical inference in case of errors-in-variables. We derive statistical tests that require minimal statistical assumptions; neither the sample distribution nor the noise level is required. An...

Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class of loss functions. Distinction is drawn...