Testing for Stochastic Dominance Efficiency
نویسندگان
چکیده
منابع مشابه
Testing for Stochastic Dominance Efficiency
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 programmin...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2010
ISSN: 0735-0015,1537-2707
DOI: 10.1198/jbes.2009.06167