Testing for the Stochastic Dominance Efficiency of a Given Portfolio

16 Pages Posted: 5 Jun 2014

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Thierry Post

Graduate School of Business of Nazarbayev University

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: June 2014

Abstract

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 moderateā€sized samples.

Keywords: Linear programming, Portfolio choice, Stochastic dominance, Subsampling

Suggested Citation

Linton, Oliver B. and Post, Thierry and Whang, Yoon-Jae, Testing for the Stochastic Dominance Efficiency of a Given Portfolio (June 2014). The Econometrics Journal, Vol. 17, Issue 2, pp. S59-S74, 2014, Available at SSRN: https://ssrn.com/abstract=2446285 or http://dx.doi.org/10.1111/ectj.12016

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Thierry Post

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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