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Testing for Stochastic Dominance Efficiency

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  • Scaillet, Olivier
  • Topaloglou, Nikolas

Abstract

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

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.06167
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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 28 (2010)
Issue (Month): 1 ()
Pages: 169-180

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Handle: RePEc:bes:jnlbes:v:28:i:1:y:2010:p:169-180

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Cited by:
  1. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers 1206, University of Guelph, Department of Economics and Finance.
  2. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
  3. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013. "A New Index of Environmental Quality Based on Greenhouse Gas Emissions," Working Paper Series 12_13, The Rimini Centre for Economic Analysis.
  4. Miguel A. Delgado & Juan Carlos Escanciano, 2011. "Conditional stochastic dominance testing," Economics Working Papers we1138, Universidad Carlos III, Departamento de Economía.
  5. Gonzalo, Jesus & Olmo, Jose, 2013. "Conditional stochastic dominance tests in dynamic settings," Discussion Paper Series In Economics And Econometrics 1311, Economics Division, School of Social Sciences, University of Southampton.
  6. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012. "Measuring Human Development: A Stochastic Dominance Approach," Working Paper Series 42_12, The Rimini Centre for Economic Analysis.
  7. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
  8. Martin Branda & Miloš Kopa, 2012. "DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 106-124, May.

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