메뉴 건너뛰기




Volumn 24, Issue 2, 2001, Pages 289-307

Marginal conditional stochastic dominance, statistical inference, and measuring portfolio performance

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33745603163     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2001.tb00769.x     Document Type: Article
Times cited : (21)

References (23)
  • 1
    • 0030372030 scopus 로고    scopus 로고
    • Nonparametric tests of stochastic dominance in income distributions
    • Anderson, G., 1996, Nonparametric tests of stochastic dominance in income distributions, Econometrica 64, 1183–93.
    • (1996) Econometrica , vol.64 , pp. 1183-1193
    • Anderson, G.1
  • 2
    • 0000034550 scopus 로고
    • Stochastic dominance: A research bibliography
    • Anderson, G., 1982, Stochastic dominance: A research bibliography, Management Science 28, 698–712.
    • (1982) Management Science , vol.28 , pp. 698-712
    • Anderson, G.1
  • 3
    • 0028584028 scopus 로고
    • Testing for marginal changes in income distributions with Lorenz and concentration curves
    • Bishop, J. A., K. V. Chow, and J. P. Formby, 1994, Testing for marginal changes in income distributions with Lorenz and concentration curves, International Economic Review 35, 479–88.
    • (1994) International Economic Review , vol.35 , pp. 479-488
    • Bishop, J.A.1    Chow, K.V.2    Formby, J.P.3
  • 4
    • 0000904974 scopus 로고
    • The structure of investor preferences and asset returns and separability in portfolio allocation: A contribution to the pure theory of mutual funds
    • Cass, D. and J. E. Stiglitz, 1970, The structure of investor preferences and asset returns and separability in portfolio allocation: A contribution to the pure theory of mutual funds, Journal of Economic Theory 2, 122–60.
    • (1970) Journal of Economic Theory , vol.2 , pp. 122-160
    • Cass, D.1    Stiglitz, J.E.2
  • 5
    • 0000958918 scopus 로고
    • A simple multiple variance ratio test
    • Chow, K. V. and K. C. Denning, 1993, A simple multiple variance ratio test, Journal of Econometrics 58, 385–401.
    • (1993) Journal of Econometrics , vol.58 , pp. 385-401
    • Chow, K.V.1    Denning, K.C.2
  • 6
    • 0002942943 scopus 로고
    • Rules for ordering uncertain prospects
    • Hadar, J. and W. Russell, 1969, Rules for ordering uncertain prospects, American Economic Review 59, 24–34.
    • (1969) American Economic Review , vol.59 , pp. 24-34
    • Hadar, J.1    Russell, W.2
  • 7
    • 84963089164 scopus 로고
    • The efficiency analysis of choices involving risk
    • Hanoch, G. and H. Levy, 1969, The efficiency analysis of choices involving risk, Review of Economic Studies 36, 335–46.
    • (1969) Review of Economic Studies , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 8
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945–1964
    • Jensen, C. M., 1968, The performance of mutual funds in the period 1945–1964, Journal of Finance, 389–415.
    • (1968) Journal of Finance , pp. 389-415
    • Jensen, C.M.1
  • 10
    • 0001631126 scopus 로고
    • Stochastic dominance and expected utility: Survey and analysis
    • Levy, H., 1992, Stochastic dominance and expected utility: Survey and analysis, Management Science 38 555–93.
    • (1992) Management Science , vol.38 , pp. 555-593
    • Levy, H.1
  • 14
    • 85040423703 scopus 로고
    • Mutual fund separation in financial theory—The separating distributions
    • Ross, S. A., 1970, Mutual fund separation in financial theory—The separating distributions, Journal of Economic Theory 2, 225–43.
    • (1970) Journal of Economic Theory , vol.2 , pp. 225-243
    • Ross, S.A.1
  • 16
    • 0009981024 scopus 로고
    • Multiple hypothesis testing
    • Griliches Z., Intriligator M. D., eds., North-Holland, Amsterdam
    • Savin, N. E., 1984, Multiple hypothesis testing, in Griliches Z. and Intriligator M. D., eds., Handbook of Economics, Vol. II (North-Holland, Amsterdam).
    • (1984) Handbook of Economics , vol.II
    • Savin, N.E.1
  • 18
    • 0013556245 scopus 로고
    • Marginal conditional stochastic sominance
    • Shalit, H. and Yitzhaki, S., 1994, Marginal conditional stochastic sominance, Management Science 40, 670–84.
    • (1994) Management Science , vol.40 , pp. 670-684
    • Shalit, H.1    Yitzhaki, S.2
  • 19
    • 0001752951 scopus 로고
    • Mutual fund performamce
    • Sharpe, W., 1966, Mutual fund performamce, Journal of Business, 119–38
    • (1966) Journal of Business , pp. 119-138
    • Sharpe, W.1
  • 21
    • 84950660216 scopus 로고
    • Tables of the studentized maximum modulus distribution and an application to multiple comparisons among means
    • Stoline, M. R. and Ury, H. K., 1979, Tables of the studentized maximum modulus distribution and an application to multiple comparisons among means, Technometrics 21, 87–93.
    • (1979) Technometrics , vol.21 , pp. 87-93
    • Stoline, M.R.1    Ury, H.K.2
  • 22
    • 0038709222 scopus 로고
    • Ranking distributions with generalized Lorenz curves
    • Thistle, P. D., 1989, Ranking distributions with generalized Lorenz curves, Southern Economic Journal 56, 1–12.
    • (1989) Southern Economic Journal , vol.56 , pp. 1-12
    • Thistle, P.D.1
  • 23
    • 0002332446 scopus 로고
    • How to rate management of investment funds
    • Treynor, J., 1966, How to rate management of investment funds, Harvard Business Review, 63–75
    • (1966) Harvard Business Review , pp. 63-75
    • Treynor, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.