Open AccessTesting for the stochastic dominance efficiency of a given portfolio
Author(s) -
Linton Oliver,
Post Thierry,
Whang YoonJae
Publication year - 2014
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/ectj.12016
Subject(s) - stochastic dominance , portfolio , econometrics , null hypothesis , statistical hypothesis testing , dominance (genetics)
Summary We propose a new statistical 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.