Testing for the stochastic dominance efficiency of a given portfolio

DOI10.1111/ECTJ.12016MaRDI QIDQ5093231zbMATH OpenOpenAlexFDO

Authors Oliver Linton, Thierry Post, Yoon-Jae Whang

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1111/ectj.12016

zbMATH Keywords

linear programmingstochastic dominancesubsamplingportfolio choice

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(27)

• A new efficiency test for ranking investments: application to hedge fund performance
• A general test for SSD portfolio efficiency
• Portfolio efficiency tests based on stochastic dominance and co-integration
• Nonparametric tests of efficiency of portfolio investment
• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
• Testing for prospect and Markowitz stochastic dominance efficiency
• Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
• A Test of the Efficiency of a Given Portfolio
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Conditional stochastic dominance tests in dynamic settings
• Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
• Inference on Consensus Ranking of Distributions
• Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects
• Stochastic Spanning
• Empirical tests for stochastic dominance optimality
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Risk arbitrage opportunities for stock index options
• Portfolio diversification based on stochastic dominance under incomplete probability information
• Testing for stochastic dominance efficiency
• Spanning tests for Markowitz stochastic dominance
• On the asymptotic distribution of (generalized) Lorenz transvariation measures
• Non-parametric tests of portfolio efficiency under static and dynamic conditions†
• Advancements in stochastic dominance efficiency tests
• A strategy-proof test of portfolio returns
• Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty
• Incomplete risk-preference information in portfolio decision analysis

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