Scientific article
Open access

Testing for Stochastic Dominance Efficiency

Published inJournal of business & economic statistics, vol. 28, no. 1, p. 169-180
Publication date2010

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.

  • Nonparametric
  • Stochastic Ordering
  • Dominance Effi- ciency
  • Linear Programming
  • Mixed Integer Programming
  • Block Bootstrap
Citation (ISO format)
SCAILLET, Olivier, TOPALOGLOU, Nikolas. Testing for Stochastic Dominance Efficiency. In: Journal of business & economic statistics, 2010, vol. 28, n° 1, p. 169–180. doi: 10.1198/jbes.2009.06167
Main files (1)
Article (Accepted version)
ISSN of the journal0735-0015

Technical informations

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