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Title:Testing for the stochastic dominance efficiency of a given portfolio PDF Logo
Authors:Linton, Oliver
Whang, Yoon-Jae
Issue Date:2012
Series/Report no.:cemmap working paper CWP27/12
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.
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2012.2712
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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