Testing for the stochastic dominance efficiency of a given portfolio

Oliver Linton, Thierry Post, Yoon-Jae Whang

Research output: Contribution to journalArticleResearchpeer-review

22 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 languageEnglish
Pages (from-to)S59-S74
Number of pages16
JournalEconometrics Journal
Volume17
Issue number2
DOIs
Publication statusPublished - 2014
Externally publishedYes

Keywords

  • Linear programming
  • Portfolio choice
  • Stochastic dominance
  • Subsampling

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