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

Simple item page
dc.contributor.coauthorLinton, Oliver
dc.contributor.coauthorWhang, Yoon-Jae
dc.contributor.departmentGraduate School of Business
dc.contributor.kuauthorPost, Gerrit Tjeerd
dc.contributor.schoolcollegeinstituteGRADUATE SCHOOL OF BUSINESS
dc.date.accessioned2024-11-09T23:12:21Z
dc.date.issued2014
dc.description.abstractWe 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.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue2
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipERC
dc.description.sponsorshipNational Research Foundation [NRF-2012S1A3A2033467]
dc.description.sponsorshipInstitute of Economic Research, Seoul National University
dc.description.sponsorshipESRC [ES/I034021/1, ES/H021221/1] Funding Source: UKRI
dc.description.sponsorshipEconomic and Social Research Council [ES/H021221/1, ES/I034021/1] Funding Source: researchfish We thank participants at the conference in honour of Haim Levy held at CEMMAP, 4-5 November 2005, for comments. Oliver Linton thanks the ERC for financial support. Yoon-Jae Whang thanks the National Research Foundation (NRF-2012S1A3A2033467) and the Institute of Economic Research, Seoul National University, for financial support.
dc.description.volume17
dc.identifier.doi10.1111/ectj.12016
dc.identifier.eissn1368-423X
dc.identifier.issn1368-4221
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-84901841490
dc.identifier.urihttps://doi.org/10.1111/ectj.12016
dc.identifier.urihttps://hdl.handle.net/20.500.14288/9795
dc.identifier.wos337685600005
dc.keywordsLinear programming
dc.keywordsPortfolio choice
dc.keywordsStochastic dominance
dc.keywordsSubsampling
dc.language.isoeng
dc.publisherWiley-Blackwell
dc.relation.ispartofEconometrics Journal
dc.subjectEconomics
dc.subjectMathematics
dc.subjectSocial Sciences
dc.subjectMathematical methods
dc.subjectStatistics
dc.subjectProbability
dc.titleTesting for the stochastic dominance efficiency of a given portfolio
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorPost, Gerrit Tjeerd
local.publication.orgunit1GRADUATE SCHOOL OF BUSINESS
local.publication.orgunit2Graduate School of Business
relation.isOrgUnitOfPublication66c315a1-2b3d-40d3-89e4-aab9ae3b313b
relation.isOrgUnitOfPublication.latestForDiscovery66c315a1-2b3d-40d3-89e4-aab9ae3b313b
relation.isParentOrgUnitOfPublicationeae8aa5b-4ed7-47c1-a210-5860cba53ef4
relation.isParentOrgUnitOfPublication.latestForDiscoveryeae8aa5b-4ed7-47c1-a210-5860cba53ef4

Files

Collections

Publications without Fulltext