Publication: Testing for the stochastic dominance efficiency of a given portfolio
Program
KU-Authors
KU Authors
Co-Authors
Linton, Oliver
Whang, Yoon-Jae
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
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.
Source
Publisher
Wiley-Blackwell
Subject
Economics, Mathematics, Social Sciences, Mathematical methods, Statistics, Probability
Citation
Has Part
Source
Econometrics Journal
Book Series Title
Edition
DOI
10.1111/ectj.12016