Testing for Stochastic Dominance Efficiency

29 Pages Posted: 13 May 2005  

Oliver B. Linton

University of Cambridge

Thierry Post

Koc University - Graduate School of Business

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: 28 2005 6,

Abstract

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

Linton, Oliver B. and Post, Thierry and Whang, Yoon-Jae, Testing for Stochastic Dominance Efficiency (28 2005 6,). ERIM Report Series Reference No. ERS-2005-033-F&A. Available at SSRN: https://ssrn.com/abstract=722504

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Thierry Post (Contact Author)

Koc University - Graduate School of Business ( email )

Rumelifeneri Yolu
34450 Sariyer
Istanbul
Turkey

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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