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Testing for the stochastic dominance efficiency of a given portfolio

Authors: Oliver Linton , Thierry Post and Yoon-Jae Whang
Date: 01 June 2014
Type: Journal Article, Econometrics Journal, Vol. 17, No. 2, pp. S59--S74
DOI: 10.1111/ectj.12016

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.

Previous version:
Oliver Linton and Yoon-Jae Whang September 2012, Testing for the stochastic dominance efficiency of a given portfolio, cemmap Working Paper, CWP27/12, Institute for Fiscal Studies

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