2024-11-0920141368-422110.1111/ectj.120162-s2.0-84901841490http://dx.doi.org/10.1111/ectj.12016https://hdl.handle.net/20.500.14288/9795We 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.EconomicsMathematicsSocial SciencesMathematical methodsStatisticsProbabilityJournal Article1368-423X337685600005Q26773