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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Linton, Oliver | | en_US |
| dc.contributor.author | | Whang, Yoon-Jae | | en_US |
| dc.date.accessioned | | 2012-09-24 | | en_US |
| dc.date.accessioned | | 2012-10-16T13:08:44Z | | - |
| dc.date.available | | 2012-10-16T13:08:44Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.pi | | doi:10.1920/wp.cem.2012.2712 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64761 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Microdata Methods and Practice London | | en_US |
| dc.relation.ispartofseries | | cemmap working paper CWP27/12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Testing for the stochastic dominance efficiency of a given portfolio | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 726303526 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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