This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for Stochastic Dominance Efficiency

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Olivier Scaillet (HEC, University of Geneva and FAME)
Nikolas Topaloglou (HEC, University of Geneva)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.swissfinanceinstitute.ch/rp154.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Marilyn Barja)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp154.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Jul 2005
Date of revision:
Handle: RePEc:fam:rpseri:rp154

Contact details of provider:
Postal: 40 bd. du Pont d'Arve, Case postale 3, CH - 1211 Geneva 4
Phone: 41 22 / 312 09 61
Fax: 41 22 / 312 10 26
Web page: http://www.swissfinanceinstitute.ch
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Marilyn Barja).

Related research
Keywords: Nonparametric; Stochastic Ordering; Dominance Efficiency; Linear Programming; Mixed Integer Programming; Simulation; Bootstrap;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? IDEAS also indexes software components.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.