Stochastic dominance analysis of CTA funds

Data envelopment analysis of mutual funds based on second-order stochastic dominance

Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed MF. This neglects the important effects...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Stochastic Dominance Analysis of Australian Income Distributions

We apply stochastic dominance tests to investigate trends in inequality in Australia over the period 1983 to 1998. Results show significant levels of inequalities in the income and expenditure distributions for the population as a whole as well as within population groups. We further find that the impact of the government’s tax and transfer redistribution scheme varied greatly among the differe...

Performance Measurement and Best-Practice Benchmarking of Mutual Funds: Combining Stochastic Dominance criteria with Data Envelopment Analysis

We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelo...

Stochastic Dominance Analysis Without the Independence Axiom