Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
基于占优检验的市场投资组合一致无效率证据
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…