Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton; Thierry Post; Yoon-Jae Whang

doi:10.1111/ectj.12016

Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton, Thierry Post, Yoon-Jae Whang

Research output: Contribution to journal › Article › Research › peer-review

28 Citations (Scopus)

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.

Original language	English
Pages (from-to)	S59-S74
Number of pages	16
Journal	Econometrics Journal
Volume	17
Issue number	2
DOIs	https://doi.org/10.1111/ectj.12016
Publication status	Published - 2014
Externally published	Yes

Keywords

Linear programming
Portfolio choice
Stochastic dominance
Subsampling

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10.1111/ectj.12016

Cite this

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KW - Subsampling

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Testing for the stochastic dominance efficiency of a given portfolio

Abstract

Keywords

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