Testing for stochastic dominance efficiency

Rapport Rapport de recherche Testing for stochastic dominance efficiency eng 2005 author Scaillet Olivier 0000-0002-3948-6891 134311 author Topaloglou Nikolaos 625837 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 propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear and mixed integer programming methods. The empirical application shows that the Fama and French market portfolio is FSD and SSD efficient, although it is mean-variance inefficient. Nonparametric Stochastic Ordering Dominance Efficiency Linear Programming Mixed Integer Programming Simulation Bootstrap Dewey 332/658 Dewey 330/650 Cahiers de recherche 2005.08 9 Faculté d'économie et de management S false 73db1945-413d-41ca-9321-318f267d8c7a Report Public file1.pdf 331162 application/pdf openAccess Faculté d'économie et de management

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Testing for stochastic dominance efficiency				2005	616	2,458

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Topaloglou, Nikolaos