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cemmap Working Papers
September 2012 CWP27/12
Article
Testing for the stochastic dominance efficiency of a given portfolio
Type: cemmap Working Papers
Authors: Oliver Linton and Yoon-Jae Whang

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.

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