Arbeitspapier
Testing for the stochastic dominance efficiency of a given portfolio
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.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP27/12
- Classification
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Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
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Linton, Oliver
Whang, Yoon-Jae
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2012
- DOI
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doi:10.1920/wp.cem.2012.2712
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Linton, Oliver
- Whang, Yoon-Jae
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2012
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