Publication:
Testing for the stochastic dominance efficiency of a given portfolio

Placeholder

Departments

School / College / Institute

Organizational Unit
GRADUATE SCHOOL OF BUSINESS
Upper Org Unit

Program

KU Authors

Co-Authors

Linton, Oliver
Whang, Yoon-Jae

Publication Date

Language

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

item.page.datauri

Link

Rights

Copyrights Note

Endorsement

Review

Supplemented By

Referenced By

0

Views

0

Downloads

View PlumX Details