Template-Type: ReDIF-Paper 1.0
Author-Name: Post, G.T.
Author-Name-Last: Post
Author-Name-First: Thierry
Author-Name: Linton, O.
Author-Name-Last: Linton
Author-Name: Whang, Y-J.
Author-Name-Last: Whang
Title: Testing for Stochastic Dominance Efficiency
Abstract: 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.
Creation-Date: 2005-06-28
File-URL: https://repub.eur.nl/pub/6726/ERS%202005%20033%20F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2005-033-F&A
Classification-JEL: C19, G12, G3, M
Keywords: asset pricing, portfolio analysis, portfolio diversification, stochastic dominance
Handle: RePEc:ems:eureri:6726