Stochastic Dominance Analysis of Fund Performance

摘要：

Two methods are frequently used for modeling choice among uncertain prospects: stochastic dominance and mean-risk approaches. In particular, if variance is used as a measure of risk, the resulting mean-variance model is, in general, not consistent with stochastic dominance rules. The purpose of this research study is to conduct an investigation of the efficacy of stochastic dominance theory in fund performance. Using fund data in china, empirical exploration presented herein is to examine an intriguing and perplexing issue that continues to be debated in the investment analysis literature.Specifically, a familiar and prevalent tenet of contemporary portfolio theory is that the intertemporal total returns produced by mutual funds are unlikely to outpace a broad market index.

关键词： Funds Performance evaluation stochastic dominance rules

作者: Yang Kuan

作者单位: College of Business Management,HuNan University,Changsha,P.R.China,410082

会议类型: 国际会议

会议名称: 2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)

会议地点: 武汉

会议语种:英文

页码: 701-705

在线出版日期: 2006-11-08（万方平台首次上网日期，不代表论文的发表时间）