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Linton, Oliver
Whang, Yoon-Jae
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cemmap working paper CWP27/12
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.
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Working Paper

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