Linton, O. http://repub.eur.nl/res/aut/5524/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png RePub, Erasmus University Rotterdam http://repub.eur.nl Testing for Stochastic Dominance Efficiency (Research Paper) http://repub.eur.nl/res/pub/6726/ 2005-06-28T00:00:00Z 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.