Efficient Diversification According to Stochastic Dominance Criteria
提出了首个基于一般随机占优准则的资产组合效率操作性检验，通过将随机占优准则重新表达为T维欧几里得空间中的问题，保留了资产收益的截面依赖性，并推导出简单的效率度量和检验统计量，实证分析了市场组合的行业分散化。
This paper develops the first operational tests of portfolio efficiency based on the general stochastic dominance (SD) criteria that account for an infinite set of diversification strategies. The main insight is to preserve the cross-sectional dependence of asset returns when forming portfolios by reexpressing the SD criteria in T-dimensional Euclidean space, with elements representing rates of return in T different states of nature. We characterize subsets of this state-space that dominate a given evaluated return vector by first- and second-order SD. This allows us to derive simple SD efficiency measures and test statistics, computable by standard mathematical programming algorithms. The SD tests and efficiency measures are illustrated by an empirical application that analyzes industrial diversification of the market portfolio.