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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. 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.
  2. 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.
  3. Gonzalo, Jesús & Olmo, José, . "Conditional stochastic dominance tests in dynamic settings," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/9691, Universidad Carlos III de Madrid.
  4. 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.
  5. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper Series 17_12, The Rimini Centre for Economic Analysis.
  6. Miguel A. Delgado & Juan Carlos Escanciano, 2013. "Conditional Stochastic Dominance Testing," Journal of Business & Economic Statistics, American Statistical Association, vol. 31(1), pages 16-28, January.
  7. 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.

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