Stochastic Dominance Analysis of iShares [PDF]
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance ...
Dominic Gasbarro +2 more
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Nonhuman Primates Satisfy Utility Maximization in Compliance with the Continuity Axiom of Expected Utility Theory. [PDF]
J Neurosci, 2021 Ferrari-Toniolo S +4 more
europepmc +1 more source
Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance [PDF]
In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds.
Giuseppe De Nadai, Paolo Pianca
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Evaluating hedge fund performance: a stochastic dominance approach [PDF]
, 2007 We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for stochastic dominance to compare the returns of hedge funds.
Li, Sheng, Linton, Oliver
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Portfolio Selection in Multidimensional General and Partial Moment Space. [PDF]
This paper develops a general approach for the single period portfolio optimization problem in a multidimensional general and partial moment space. A shortage function is defined that looks for possible increases in odd moments and decreases in even ...
Kristiaan Kerstens, Walter Briec
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Robust Estimation and Forecasting of the Capital Asset Pricing Model [PDF]
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution.
Guorui Bian +2 more
core +3 more sources
Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
europepmc +1 more source
Uncovering circuit mechanisms of current sinks and sources with biophysical simulations of primary visual cortex. [PDF]
Elife, 2023 Rimehaug AE +9 more
europepmc +1 more source
Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach [PDF]
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice.
Raúl Ibarra-Ramírez
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Stochastic Dominance, Entropy and Biodiversity Management [PDF]
In this paper we develop a model of population dynamics using the Shannon entropy index, a measure of diversity that allows for global and specific population shocks.
Catherine M. Chambers +3 more
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