Testing for Stochastic Dominance Efficiency
AbstractWe 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
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 28 (2010)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Olivier Scaillet & Nikolas Topaloglou, 2005. "Testing for Stochastic Dominance Efficiency," FAME Research Paper Series rp154, International Center for Financial Asset Management and Engineering.
- Nikolas Topaloglou & Olivier Scaillet & University of Geneva, 2006. "Testing foe Stochastic Dominance Efficiency," Computing in Economics and Finance 2006 74, Society for Computational Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2013. "Measuring human development: a stochastic dominance approach," Journal of Economic Growth, Springer, vol. 18(1), pages 69-108, March.
- Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012. "Measuring human development: a stochastic dominance approach," Working Papers 1209, University of Guelph, Department of Economics.
- 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.
- 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.
- Jesús Gonzalo & José Olmo, 2010. "Conditional stochastic dominance tests in dynamic settings," Economics Working Papers we1029, Universidad Carlos III, Departamento de Economía.
- Jose Olmo & Jesus Gonzalo, 2012. "Conditional stochastic dominance tests in dynamic settings," Economics Working Papers we1205, Universidad Carlos III, Departamento de Economía.
- 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.
- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012.
"Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle,"
1206, University of Guelph, Department of Economics.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.