A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion
提出一种新方法，基于一阶随机占优准则检验给定投资组合相对于所有可能组合的最优性，发现美国股市组合相对于市值和账面市值比基准组合显著非最优，表明非饱和投资者不会持有市场组合。
Abstract Existing approaches to testing for the efficiency of a given portfolio make strong parametric assumptions about investor preferences and return distributions. Stochastic dominance-based procedures promise a useful nonparametric alternative. However, these procedures have been limited to considering binary choices. In this paper we take a new approach that considers all diversified portfolios and thereby introduce a new concept of first-order stochastic dominance (FSD) optimality of a given portfolio relative to all possible portfolios. Using our new test, we show that the U.S. stock market portfolio is significantly FSD nonoptimal relative to benchmark portfolios formed on market capitalization and book-to-market equity ratios. Without appealing to parametric assumptions about the return distribution, we conclude that no nonsatiable investor would hold the market portfolio in the face of the attractive premia of small caps and value stocks.