We propose a new test of the stochastic dominance e ¢ ciency of a given portfolio over a class of portfolios. We establish its null and alternative asymptotic properties, and de\u85ne a method for consistently estimating critical values. We present some numerical evidence that our tests work well in moderate sized samples.
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dom...
ACL-2International audienceAsymptotic and bootstrap tests are studied for testing whether there is a...
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio w...
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio w...
In the present work we study the stochastic dominance portfolio e ciency measures. The investor's ri...
This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary ...
We develop empirical tests for stochastic dominance efficiency of a given investment portfolio relat...
textabstractIn the trade-off between risk and reward, modelling risk has always been a major problem...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests o...
We propose a test of the hypothesis of conditional stochastic dominance in the presence of many cond...
This work focuses on measuring the quality of stochastic dominance approx- imation. A measure of non...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dom...
ACL-2International audienceAsymptotic and bootstrap tests are studied for testing whether there is a...
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio w...
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio w...
In the present work we study the stochastic dominance portfolio e ciency measures. The investor's ri...
This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary ...
We develop empirical tests for stochastic dominance efficiency of a given investment portfolio relat...
textabstractIn the trade-off between risk and reward, modelling risk has always been a major problem...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests o...
We propose a test of the hypothesis of conditional stochastic dominance in the presence of many cond...
This work focuses on measuring the quality of stochastic dominance approx- imation. A measure of non...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dom...
ACL-2International audienceAsymptotic and bootstrap tests are studied for testing whether there is a...