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 |
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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