Testing for Stochastic Dominance Efficiency
29 Pages Posted: 13 May 2005
Date Written: 28 2005 6,
We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in moderate sized samples.
Keywords: stochastic dominance, portfolio diversification, asset pricing, portfolio analysis
JEL Classification: M, G3, G12, C19
Suggested Citation: Suggested Citation