Journal Article

Testing for the stochastic dominance efficiency of a given portfolio

Authors

Oliver Linton, Thierry Post, Yoon-Jae Whang

Published Date

1 June 2014

Type

Journal Article

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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