Empirical Tests for Stochastic Dominance Efficiency
推导了给定投资组合相对于所有可能组合的随机占优效率的实证检验方法，可用线性规划计算，并利用自助法和渐近分布理论进行统计推断。实证发现Fama-French市场组合相对于按市值和账面市值比构建的基准组合显著无效。
Abstract We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. Using our tests, the Fama and French market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book‐to‐market equity ratio.