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Marginal Conditional Stochastic Dominance Statistical Inference And Measuring Portfolio Performance
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Book Synopsis Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance by : K. Victor Chow
Download or read book Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance written by K. Victor Chow and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple statistical test is developed for marginal conditional stochastic dominance (MCSD). The MCSD is an extension of second degree stochastic dominance. As such, without specification of the return-generating process, it can rank securities according to marginal changes of return distributions conditionally to the distribution of the market proxy, thereby, proving a powerful technique for measuring portfolio performance. Although the MCSD test is asymptotic and conservative, under both the hypotheses of homoscedasticity and heteroscedasticity, it has power to detect the dominance alternative for samples with more than 300 observations. For an illustration, the MCSD test is applied to international equity markets. The test is able to show that nine of twenty-eight equity markets are dominated by the world market.
Book Synopsis Advances in Quantitative Analysis of Finance and Accounting by : Cheng F. Lee
Download or read book Advances in Quantitative Analysis of Finance and Accounting written by Cheng F. Lee and published by World Scientific. This book was released on 2006 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: An annual publication to disseminate developments in the quantitative analysis of finance and accounting. This publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management.
Author :Philippe Johannes Petrus Marie Versijp Publisher :Rozenberg Publishers ISBN 13 :9051709358 Total Pages :128 pages Book Rating :4.0/5 (517 download)
Book Synopsis Advances in the use of stochastic dominance in asset pricing by : Philippe Johannes Petrus Marie Versijp
Download or read book Advances in the use of stochastic dominance in asset pricing written by Philippe Johannes Petrus Marie Versijp and published by Rozenberg Publishers. This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance and Applications to Finance, Risk and Economics by : Songsak Sriboonchita
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Book Synopsis The Quarterly Review of Economics and Finance by :
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2009-05 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Revisiting Almost Marginal Conditional Stochastic Dominance by : 蔡安玫
Download or read book Revisiting Almost Marginal Conditional Stochastic Dominance written by 蔡安玫 and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Emerging Markets Finance & Trade by :
Download or read book Emerging Markets Finance & Trade written by and published by . This book was released on 2007 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Inference for Stochastic Dominance by : Kewn Victor Chow
Download or read book Statistical Inference for Stochastic Dominance written by Kewn Victor Chow and published by . This book was released on 1989 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance by : G. A. Whitmore
Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.
Book Synopsis Marginal Conditional Stochastic Dominance by : Haim Shalit
Download or read book Marginal Conditional Stochastic Dominance written by Haim Shalit and published by . This book was released on 1990 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance and Applications to Finance, Risk and Economics by : Songsak Sriboonchitta
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchitta and published by . This book was released on 2009* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Tests for Stochastic Dominance Efficiency by : Thierry Post
Download or read book Empirical Tests for Stochastic Dominance Efficiency written by Thierry Post and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. Using our tests, the Fama and French market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book-to-market equity ratio.
Book Synopsis Beating the S & P 500 by : Haim Shalit
Download or read book Beating the S & P 500 written by Haim Shalit and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Stochastic Dominance with Diversification Possibilities by : Thierry Post
Download or read book Testing for Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation (as well as other choice problems under uncertainty that involve diversification possibilities). An empirical application for US stock market data illustrates our approach.
Book Synopsis Beating the S&P 500 by : Haim Shalit
Download or read book Beating the S&P 500 written by Haim Shalit and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Inference on Stochastic Dominance Efficiency by : Gerrit Tjeerd Post
Download or read book Statistical Inference on Stochastic Dominance Efficiency written by Gerrit Tjeerd Post and published by . This book was released on 2003 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
