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https://hdl.handle.net/10419/64761
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Linton, Oliver | en |
dc.contributor.author | Whang, Yoon-Jae | en |
dc.date.accessioned | 2012-09-24 | - |
dc.date.accessioned | 2012-10-16T13:08:44Z | - |
dc.date.available | 2012-10-16T13:08:44Z | - |
dc.date.issued | 2012 | - |
dc.identifier.pi | doi:10.1920/wp.cem.2012.2712 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aCentre for Microdata Methods and Practice (cemmap) |cLondon | en |
dc.relation.ispartofseries | |acemmap working paper |xCWP27/12 | en |
dc.subject.ddc | 330 | en |
dc.title | Testing for the stochastic dominance efficiency of a given portfolio | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 726303526 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:ifs:cemmap:27/12 | en |
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