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Testing for the stochastic dominance efficiency of a given portfolio

Authors: Oliver Linton and Yoon-Jae Whang
Date: 21 September 2012
Type: cemmap Working Paper, CWP27/12
DOI: 10.1920/wp.cem.2012.2712

Abstract

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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Now published:
Oliver Linton, Thierry Post and Yoon-Jae Whang June 2014, Testing for the stochastic dominance efficiency of a given portfolio, Journal Article, Wiley Online Library

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