CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
提出动态环境下任意阶条件随机占优的非参数一致检验，通过模拟近似渐近分布，应用于美国行业组合投资效率分析，发现电信板块在风险厌恶下占优。
This article proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual dependence between random variables and has an asymptotic distribution that can be easily approximated by simulation. This method has good finite-sample performance. These tests are applied to determine investment efficiency between U. S. industry portfolios conditional on the dynamics of the market portfolio. The empirical analysis suggests that Telecommunications dominates the other sectoral portfolios under risk aversion.