Non-parametric tests of portfolio efficiency under static and dynamic conditions
作者： E. B. DUMAS , JATI K. SENGUPTA
DOI: 10.1080/00207729108910759
关键词:
摘要: A set of non-parametric tests which includes the stochastic dominance criteria is developed here for evaluating performance mutual fund portfolios in relation to market index. The empirical results support hypothesis that some funds tend dominte on average, when a second-order criterion used.
sci-hub.se 参考文章(16)
Jati K. Sengupta, Diversification and Robustness in Portfolio Investment: An Empirical Analysis Stochastic Optimization and Economic Models. pp. 233- 320 ,(1986) , 10.1007/978-94-017-3085-3_6
Haim Falk, Haim Levy, Market reaction to quarterly earnings' announcements: a stochastic dominance based test of market efficiency Management Science. ,vol. 35, pp. 424- 446 ,(1989) , 10.1287/MNSC.35.4.425
Ghassem Homaifar, Duane B. Graddy, Equity yields in models considering higher moments of the return distribution Applied Economics. ,vol. 20, pp. 325- 334 ,(1988) , 10.1080/00036848800000046
Josef Hadar, William R Russell, Stochastic dominance and diversification Journal of Economic Theory. ,vol. 3, pp. 288- 305 ,(1971) , 10.1016/0022-0531(71)90024-X
George G. Judge, T. C. Lee, Arnold Zellner, Estimating the parameters of the Markov probability model from aggregate time series data ,(1977)
JATI K. SENGUPTA, RAYMOND E. SFEIR, Comparative efficiency of investment portfolios: linear and non-linear frontiers International Journal of Systems Science. ,vol. 18, pp. 2305- 2319 ,(1987) , 10.1080/00207728708967188
George A. Miller, Finite markov processes in psychology Psychometrika. ,vol. 17, pp. 149- 167 ,(1952) , 10.1007/BF02288779
Albert Madansky, Least squares estimation in finite Markov processes Psychometrika. ,vol. 24, pp. 137- 144 ,(1959) , 10.1007/BF02289825
Fred D. Arditti, Another Look at Mutual Fund Performance The Journal of Financial and Quantitative Analysis. ,vol. 6, pp. 909- 912 ,(1971) , 10.2307/2329910
O. Maurice Joy, R. Burr Porter, Stochastic Dominance and Mutual Fund Performance The Journal of Financial and Quantitative Analysis. ,vol. 9, pp. 25- 31 ,(1974) , 10.2307/2329966