EconStor >
Institute for Fiscal Studies (IFS), London >
cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/64761
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLinton, Oliveren_US
dc.contributor.authorWhang, Yoon-Jaeen_US
dc.date.accessioned2012-09-24en_US
dc.date.accessioned2012-10-16T13:08:44Z-
dc.date.available2012-10-16T13:08:44Z-
dc.date.issued2012en_US
dc.identifier.pidoi:10.1920/wp.cem.2012.2712en_US
dc.identifier.urihttp://hdl.handle.net/10419/64761-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Microdata Methods and Practice Londonen_US
dc.relation.ispartofseriescemmap working paper CWP27/12en_US
dc.subject.ddc330en_US
dc.titleTesting for the stochastic dominance efficiency of a given portfolioen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726303526en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

Files in This Item:
File Description SizeFormat
726303526.pdf432.66 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.