Publication: Testing for the stochastic dominance efficiency of a given portfolio
Loading...
Program
KU-Authors
Organization Authors
Co-Authors
Linton, Oliver
Whang, Yoon-Jae
Date
Language
Type
Embargo Status
N/A
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
Blackwell
Subject
Citation
item.page.haspartof
Source
Econometrics Journal
item.page.ispartofseries
item.page.edition
DOI
10.1111/ectj.12016
item.page.datauri
item.page.link
Rights
N/A
Copyrights Note
Rights and licensing
N/A