Testing for Stochastic Dominance Efficiency
提出检验给定投资组合相对于所有可能组合的随机占优效率的方法，使用块自助法处理时间序列数据，并通过线性与混合整数规划计算检验统计量。蒙特卡洛模拟显示方法有效，实证发现Fama-French市场组合虽均值-方差无效，但一阶和二阶随机占优有效。
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 justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empirical application reveals that the Fama and French market portfolio is first and second-order stochastic dominance efficient, although it is mean–variance inefficient.