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:	2012
Authors:	Linton, Oliver ; Whang, Yoon-Jae
Publisher:	London : Centre for Microdata Methods and Practice (cemmap)

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Series:	cemmap working paper ; CWP27/12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.1920/wp.cem.2012.2712 [DOI] 726303526 [GVK] hdl:10419/64761 [Handle] RePEc:ifs:cemmap:27/12 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010288310