Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio
开发了多元统计检验方法，用于评估给定投资组合相对于所有可能组合的随机占优效率，相比现有检验具有更强的统计功效，并发现CRSP全股指数相对于beta排序组合的均值-方差无效性可由方差未捕捉的尾部风险解释。
Abstract We develop empirical tests for stochastic dominance efficiency of a given investment portfolio relative to all possible portfolios formed from a given set of assets. Our tests use multivariate statistics, which result in superior statistical power properties compared to existing stochastic dominance efficiency tests and increase the comparability with existing mean-variance efficiency tests. Using our tests, we demonstrate that the mean-variance inefficiency of the CRSP all-share index relative to beta-sorted portfolios can be explained by tail risk not captured by variance.