Testing for Stochastic Dominance Efficiency
We propose a new 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.
|Keywords||asset pricing, portfolio analysis, portfolio diversification, stochastic dominance|
Post, G.T., Linton, O., & Whang, Y-J.. (2005). Testing for Stochastic Dominance Efficiency (No. ERS-2005-033-F&A). ERIM report series research in management Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/6726