-
1
-
-
0030372030
-
Nonparametric tests of stochastic dominance in income distributions
-
Anderson, G. (1996) Nonparametric tests of stochastic dominance in income distributions, Econometrica, 64, pp. 1183-1193.
-
(1996)
Econometrica
, vol.64
, pp. 1183-1193
-
-
Anderson, G.1
-
2
-
-
3042731583
-
Toward an empirical analysis of polarization
-
Anderson, G. J. (2004) Toward an empirical analysis of polarization, Journal of Econometrics, 122, pp. 1-26.
-
(2004)
Journal of Econometrics
, vol.122
, pp. 1-26
-
-
Anderson, G.J.1
-
3
-
-
0037273405
-
Consistent tests for stochastic dominance
-
Barrett, G. and Donald, S. (2003) Consistent tests for stochastic dominance, Econometrica, 71, pp. 71-104.
-
(2003)
Econometrica
, vol.71
, pp. 71-104
-
-
Barrett, G.1
Donald, S.2
-
4
-
-
84959669794
-
Safety-first, stochastic dominance, and optimal portfolio choice
-
Bawa, V. S. (1978) Safety-first, stochastic dominance, and optimal portfolio choice, Journal of Financial and Quantitative Analysis, 13, pp. 255-271.
-
(1978)
Journal of Financial and Quantitative Analysis
, vol.13
, pp. 255-271
-
-
Bawa, V.S.1
-
5
-
-
0040358202
-
Convergence of the south and non-south income distributions
-
Bishop, J. A., Formly, J. P. and Thistle, P. D. (1992) Convergence of the south and non-south income distributions, American Economic Review, 82, pp. 262-272.
-
(1992)
American Economic Review
, vol.82
, pp. 262-272
-
-
Bishop, J.A.1
Formly, J.P.2
Thistle, P.D.3
-
6
-
-
0001350910
-
Statistical inference for stochastic dominance and for the measurement of poverty and inequality
-
Davidson, R. and Duclos, J.-Y. (2000) Statistical inference for stochastic dominance and for the measurement of poverty and inequality, Econometrica, 68, pp. 1435-1464.
-
(2000)
Econometrica
, vol.68
, pp. 1435-1464
-
-
Davidson, R.1
Duclos, J.-Y.2
-
7
-
-
84993845943
-
Size and book-to-market factors in earnings and returns
-
Fama, E. F. and French, K. R. (1995) Size and book-to-market factors in earnings and returns, Journal of Finance, 50, pp. 131-155.
-
(1995)
Journal of Finance
, vol.50
, pp. 131-155
-
-
Fama, E.F.1
French, K.R.2
-
8
-
-
12344253017
-
Stochastic dominance and the rationality of the momentum effect across markets
-
Fong, W. M., Wong, W. K. and Lean, H. H. (2005) Stochastic dominance and the rationality of the momentum effect across markets, Journal of Financial Markets, 8, pp. 89-109.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 89-109
-
-
Fong, W.M.1
Wong, W.K.2
Lean, H.H.3
-
9
-
-
0000240015
-
Stochastic dominance and diversification
-
Hadar, J. and Russell, W. R. (1971) Stochastic dominance and diversification, Journal of Economic Theory, 3, pp. 288-305.
-
(1971)
Journal of Economic Theory
, vol.3
, pp. 288-305
-
-
Hadar, J.1
Russell, W.R.2
-
10
-
-
84963089164
-
The efficiency analysis of choices involving risk
-
Hanoch, G. and Levy, H. (1969) The efficiency analysis of choices involving risk, Review of Economic Studies, 36, pp. 335-346.
-
(1969)
Review of Economic Studies
, vol.36
, pp. 335-346
-
-
Hanoch, G.1
Levy, H.2
-
11
-
-
0011493753
-
The relationship between arbitrage and first order stochastic dominance
-
Jarrow, R. (1986) The relationship between arbitrage and first order stochastic dominance, Journal of Finance, 41, pp. 915-921.
-
(1986)
Journal of Finance
, vol.41
, pp. 915-921
-
-
Jarrow, R.1
-
12
-
-
0000615046
-
Risk, the pricing of capital assets and the evaluation of investment portfolios
-
Jensen, M. C. (1969) Risk, the pricing of capital assets and the evaluation of investment portfolios, Journal of Business, 42, pp. 167-247.
-
(1969)
Journal of Business
, vol.42
, pp. 167-247
-
-
Jensen, M.C.1
-
13
-
-
84977349574
-
Performance hypothesis testing with the Sharpe and Treynor measures
-
Jobson, J. D. and Korkie, B. (1981) Performance hypothesis testing with the Sharpe and Treynor measures, Journal of Finance, 36, pp. 889-908.
-
(1981)
Journal of Finance
, vol.36
, pp. 889-908
-
-
Jobson, J.D.1
Korkie, B.2
-
14
-
-
0042342714
-
Testing for differences in the tails of stock-market returns
-
Jondeau, E. and Rockinger, M. (2003) Testing for differences in the tails of stock-market returns, Journal of Empirical Finance, 10, pp. 559-581.
-
(2003)
Journal of Empirical Finance
, vol.10
, pp. 559-581
-
-
Jondeau, E.1
Rockinger, M.2
-
16
-
-
84974514514
-
Testing for second order stochastic dominance of two distributions
-
Kaur A., Rao, B. L. S. P. and Singh, H. (1994) Testing for second order stochastic dominance of two distributions, Econometric Theory, 10, pp. 849-866.
-
(1994)
Econometric Theory
, vol.10
, pp. 849-866
-
-
Kaur, A.1
Rao, B.L.S.P.2
Singh, H.3
-
17
-
-
33748881718
-
Stochastic dominance analysis of equity mutual fund performance
-
Kjetsaa, R. and Kieff, M. (2003) Stochastic dominance analysis of equity mutual fund performance, American Business Review, 21, pp. 1-8.
-
(2003)
American Business Review
, vol.21
, pp. 1-8
-
-
Kjetsaa, R.1
Kieff, M.2
-
19
-
-
0036697789
-
Preferred by "All" and preferred by "Most" decision makers: Almost stochastic dominance
-
Leshno, M. and Levy, H. (2002) Preferred by "All" and preferred by "Most" decision makers: almost stochastic dominance, Management Science, 48, pp. 1074-1085.
-
(2002)
Management Science
, vol.48
, pp. 1074-1085
-
-
Leshno, M.1
Levy, H.2
-
20
-
-
84993866604
-
Alternative efficiency criteria: An empirical analysis
-
Levy, H. and Sarnat, M. (1970) Alternative efficiency criteria: an empirical analysis, Journal of Finance, 25, pp. 1153-1158.
-
(1970)
Journal of Finance
, vol.25
, pp. 1153-1158
-
-
Levy, H.1
Sarnat, M.2
-
21
-
-
0042723647
-
A note on stochastic dominance for risk averters and risk takers
-
Li, C. K. and Wong, W. K. (1999) A note on stochastic dominance for risk averters and risk takers, RAIRO Recherche Operationnelle, 33, pp. 509-524.
-
(1999)
RAIRO Recherche Operationnelle
, vol.33
, pp. 509-524
-
-
Li, C.K.1
Wong, W.K.2
-
22
-
-
33845456393
-
Consistent testing for stochastic dominance: A subsampling approach
-
London School of Economics
-
Linton, O., Maasoumi, E. and Whang, Y. J. (2002) Consistent testing for stochastic dominance: a subsampling approach, Working Paper, London School of Economics.
-
(2002)
Working Paper
-
-
Linton, O.1
Maasoumi, E.2
Whang, Y.J.3
-
23
-
-
84995186518
-
Portfolio selection
-
Markowitz, H. M. (1952) Portfolio selection, Journal of Finance, 7, pp. 77-91.
-
(1952)
Journal of Finance
, vol.7
, pp. 77-91
-
-
Markowitz, H.M.1
-
24
-
-
33845397315
-
Performance hypothesis testing with the Sharpe Ratio
-
Memmel, C. (2003) Performance hypothesis testing with the Sharpe Ratio, Finance Letters, 1, pp. 21-23.
-
(2003)
Finance Letters
, vol.1
, pp. 21-23
-
-
Memmel, C.1
-
25
-
-
84974313171
-
Further applications of stochastic dominance to mutual fund performance
-
Meyer, J. (1977) Further applications of stochastic dominance to mutual fund performance, Journal of Financial and Quantitative Analysis, 12, pp. 235-242.
-
(1977)
Journal of Financial and Quantitative Analysis
, vol.12
, pp. 235-242
-
-
Meyer, J.1
-
26
-
-
0005832669
-
Skewness in financial returns
-
Peiro, A. (1999) Skewness in financial returns, Journal of Banking and Finance, 23, pp. 847-862.
-
(1999)
Journal of Banking and Finance
, vol.23
, pp. 847-862
-
-
Peiro, A.1
-
27
-
-
84956386516
-
An empirical comparison of stochastic dominance and mean-variance portfolio choice criteria
-
Porter, R. B. (1973) An empirical comparison of stochastic dominance and mean-variance portfolio choice criteria, Journal of Financial and Quantitative Analysis, 8, pp. 587-608.
-
(1973)
Journal of Financial and Quantitative Analysis
, vol.8
, pp. 587-608
-
-
Porter, R.B.1
-
28
-
-
0000399827
-
Stochastic dominance vs. mean-variance portfolio analysis: An empirical evaluation
-
Porter, R. B. and Gaumnitz, J. E. (1972) Stochastic dominance vs. mean-variance portfolio analysis: an empirical evaluation, American Economic Review, 62, pp. 438-446.
-
(1972)
American Economic Review
, vol.62
, pp. 438-446
-
-
Porter, R.B.1
Gaumnitz, J.E.2
-
29
-
-
0142219308
-
Empirical tests for stochastic dominance efficiency
-
Post, T. (2003) Empirical tests for stochastic dominance efficiency, Journal of Finance, 58, pp. 1905-1931.
-
(2003)
Journal of Finance
, vol.58
, pp. 1905-1931
-
-
Post, T.1
-
30
-
-
0038015848
-
Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets
-
Prakash, A. J., Chang, C. H. and Pactwa, T. E. (2003) Selecting a portfolio with skewness: recent evidence from US, European, and Latin American equity markets, Journal of Banking and Finance, 27, pp. 1375-1390.
-
(2003)
Journal of Banking and Finance
, vol.27
, pp. 1375-1390
-
-
Prakash, A.J.1
Chang, C.H.2
Pactwa, T.E.3
-
31
-
-
0000637723
-
A general method for constructing simultaneous confidence intervals
-
Richmond, J. (1982) A general method for constructing simultaneous confidence intervals, Journal of the American Statistical Association, 77, pp. 455-460.
-
(1982)
Journal of the American Statistical Association
, vol.77
, pp. 455-460
-
-
Richmond, J.1
-
32
-
-
84980092818
-
Capital asset prices: Theory of market equilibrium under conditions of risk
-
Sharpe, W. F. (1964) Capital asset prices: theory of market equilibrium under conditions of risk, Journal of Finance, 19, pp. 425-442.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.F.1
-
33
-
-
0001752951
-
Mutual fund performance
-
Sharpe, W. F. (1966) Mutual fund performance, Journal of Business, 39, pp. 119-138.
-
(1966)
Journal of Business
, vol.39
, pp. 119-138
-
-
Sharpe, W.F.1
-
34
-
-
84950660216
-
Tables of the studentized maximum modulus distribution and an application to multiple comparison among means
-
Stoline, M. R. and Ury, H. K. (1979) Tables of the studentized maximum modulus distribution and an application to multiple comparison among means, Technometrics, 21, pp. 87-93.
-
(1979)
Technometrics
, vol.21
, pp. 87-93
-
-
Stoline, M.R.1
Ury, H.K.2
-
35
-
-
0037729259
-
Skewness persistence with optimal portfolio selection
-
Sun, Q. and Yan, Y. (2003) Skewness persistence with optimal portfolio selection, Journal of Banking and Finance, 27, pp. 1111-1121.
-
(2003)
Journal of Banking and Finance
, vol.27
, pp. 1111-1121
-
-
Sun, Q.1
Yan, Y.2
-
36
-
-
33845461314
-
Load and no-load mutual fund dynamics during the 1987 Market Crash: A Stochastic dominance analysis
-
Taylor, W. R. L. and Yoder, J. A. (1999) Load and no-load mutual fund dynamics during the 1987 Market Crash : A Stochastic dominance analysis, Journal of Economics and Finance, 23, pp. 255-265.
-
(1999)
Journal of Economics and Finance
, vol.23
, pp. 255-265
-
-
Taylor, W.R.L.1
Yoder, J.A.2
-
37
-
-
84925902383
-
Stochastic dominance and maximization of expected utility
-
Tesfatsion, L. (1976) Stochastic dominance and maximization of expected utility, Review of Economic Studies, 43, pp. 301-315.
-
(1976)
Review of Economic Studies
, vol.43
, pp. 301-315
-
-
Tesfatsion, L.1
-
38
-
-
0002332446
-
How to rate management of investment funds
-
Treynor, J. L. (1965) How to rate management of investment funds, Harvard Business Review, 43, pp. 63-75.
-
(1965)
Harvard Business Review
, vol.43
, pp. 63-75
-
-
Treynor, J.L.1
|