Testing for Stochastic Dominance Efficiency
Bibliographic Data
| ID | 19420194 |
|---|---|
| Authors | Olivier Scaillet (0000-0002-3948-6891, University of Geneva), Nikolas Topaloglou (0000-0002-2187-0748, Athens University of Economics and Business) |
| Year | 2010 |
| Volume | 28 |
| Issue | 1 |
| Pages | 169-180 |
| Publication date | 2010-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/jbes.2009.06167 |
| OpenAlex | W2055286074 |
| Language | EN |
| Citations received | 7 |
| References cited | 31 |
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empirical application reveals that the Fama and French market portfolio is first and second-order stochastic dominance efficient, although it is mean–variance inefficient
Econometrics · Economics · Inference · Mathematical optimization · Monte Carlo method · Portfolio · Statistics · Stochastic dominance · Computer Science · Financial Markets and Investment Strategies · Mathematics · Monetary Policy and Economic Impact · Risk and Portfolio Optimization · Finance
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| Unique citing works | 7 |
|---|---|
| Citations per year | 0.54 |
| Citation span | 2013 - 2022 (10) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 7 |