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 | |
| Publication status | Published - 2014 |
| Externally published | Yes |
Keywords
- Linear programming
- Portfolio choice
- Stochastic dominance
- Subsampling