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Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests

We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an analytical characterization of stochastic uniform inefficiency. We give the limit distribution for the empirical test statistic, and present a practical implementation with block bootstrap for consistent estimation of p-values. Our test is asymptotically exact and performs well in Monte Carlo experiments.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF BUSINESS AND ECONOMIC STATISTICS; Vol.40 No.3 July 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 937-949

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

MUTUAL FUNDS
STOCHASTIC DOMINANCE
TESTS
OPTIMAL PORTFOLIO
ASSET PORTFOLIOS
UNIFORM INEFFICIENCY

Info Detail Spesifik

https://doi.org/10.1080/07350015.2021.1888741

Pernyataan Tanggungjawab

Sofia Anyfantaki, Esfandiar Maasoumi, Jue Ren, Nikolas Topaloglou

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