Testing for Stochastic Dominance Efficiency
2005-06-28
Research Paper
This publication is part of collection
| Related Files |
|---|
View PDF Version
(ERS 2005 033 F&A.pdf, 0.5MB) |
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
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- G12 : Asset Pricing
- M : Business Administration and Business Economics; Marketing; Accounting
- C19 : Econometric and Statistical Methods: Other
Automatically Extracted Terms
- portfolio
- hypothesis
- sample
- cient
- theorem
- distribution
- assumption
- dominance
- statistic
- value
- result
- function
- bootstrap
- alternative
- ssd e cient
- inf x 2x
- e cient
- ciency
- lemma
- order
