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| Author: | Post, T. |
| Title: | Empirical tests for stochastic dominance efficiency |
| Journal: | Journal of Finance
2003 : OCT, VOL. 58:5, p. 1905-1931 |
| Index terms: | Statistical methods Stochastic programming Linear programming Portfolio management |
| Language: | eng |
| Abstract: | The authors derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymtotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. The results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. |
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