Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64761
Authors: 
Linton, Oliver
Whang, Yoon-Jae
Year of Publication: 
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: 
Document Type: 
Working Paper

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