|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|
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.