Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64761
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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.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen_US
dc.relation.ispartofseries|acemmap working paper |xCWP27/12en_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

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