Empirical Tests for Stochastic Dominance Efficiency
2003-09-11
Article
pp 1905-1932.
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We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming.
Keywords
- portfolio management
- linear programming
- stochastic analysis
- Asymptotic distribution (Probability theory)
- bootstraps (statistics)
