Working Paper

Testing for the stochastic dominance efficiency of a given portfolio

Authors

Oliver Linton, Yoon-Jae Whang

Published Date

21 September 2012

Type

Working Paper (CWP27/12)

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.


Latest version

Testing for the stochastic dominance efficiency of a given portfolio
Oliver Linton, Thierry Post, Yoon-Jae Whang
CWP