Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton, Thierry Post, Yoon Jae Whang

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

Summary: 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.

Original languageEnglish
JournalEconometrics Journal
Volume17
Issue number2
DOIs
Publication statusPublished - 2014
Externally publishedYes

Fingerprint

Critical value
Statistical tests
Asymptotic properties
Stochastic dominance
Testing

Keywords

  • Linear programming
  • Portfolio choice
  • Stochastic dominance
  • Subsampling

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Testing for the stochastic dominance efficiency of a given portfolio. / Linton, Oliver; Post, Thierry; Whang, Yoon Jae.

In: Econometrics Journal, Vol. 17, No. 2, 2014.

Research output: Contribution to journalArticle

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