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.
Authors
Oliver Linton
SNU
Working Paper details
- DOI
- 10.1920/wp.cem.2012.2712
- Publisher
- Institute for Fiscal Studies
Suggested citation
Linton, O and Whang, Y. (2012). Testing for the stochastic dominance efficiency of a given portfolio. London: Institute for Fiscal Studies. Available at: https://ifs.org.uk/publications/testing-stochastic-dominance-efficiency-given-portfolio (accessed: 3 July 2024).
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