bootDom12 function

bootstrap confidence intervals for (x2-x1) exact SD1 to SD4 stochastic dominance .

This calls the meboot package to create J=999 replications of portfolio return matrices and compute 95% confidence intervals on x1, x2 and their difference (x2-x1). If the interval on (x2-x1) conta.ins zero the choice between the two can reverse due to sampling variation

bootDom12(x1, x2, confLevel = 95, reps = 999)

Arguments

• x1: a vector of n portfolio returns
• x2: a vector of n portfolio returns
• confLevel: confidene level confLevel=95 is default
• reps: number of bootstrap resamples, default is reps=999

Returns

A matrix with six columns. First two Low1 and Upp1 are confidence interval limits for x1. Next two columns have analogous limits for x2. The last but first columns entitled Lowx2mx1 means lower confidence limit for (x2-x1), where m=minus. The last column entitled Uppx2mx1 means upper confidence limit for (x2-x1).

For strong stochastic dominance of x2 over x1 dominance beyond sampling variability, zero should not be inside the confidence interval in the last two columns.

See Also

see exactSdMtx

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY