@techreport{Linton2012Testing,
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.},
address = {London},
author = {Oliver Linton and Yoon-Jae Whang},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
doi = {10.1920/wp.cem.2012.2712},
keywords = {330},
language = {eng},
number = {CWP27/12},
publisher = {Centre for Microdata Methods and Practice},
title = {Testing for the stochastic dominance efficiency of a given portfolio},
type = {cemmap working paper},
url = {http://hdl.handle.net/10419/64761},
year = {2012}
}
