We develop a Linear Programming test to analyze if a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. The test has a convenient Linear Programming structure. In case of efficiency, the...

If a given risky prospect is compared with multiple choice alternatives, then a joint test for optimality is more appropriate than a series of pairwise Stochastic Dominance tests. We develop and implement a bootstrap empirical likelihood ratio test for this hypothesis. The test statistic and...

We develop a nonparametric test of productive efficiency that accounts for thepossibility of errors-in-variables. The test allows for statistical inference based on theextreme value distribution of the L?? norm. In contrast to the test proposed by Varian,H (1985): 'Nonparametric Analysis of...

A Stochastic Arbitrage Opportunity is defined as a zero-cost investment portfolio that enhances every feasible benchmark portfolio for all admissible utility functions. The present study provides a formal theory of consistent estimation of the set of arbitrage opportunities and an Empirical...