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Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition

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  • Meyer, Jack
  • Rasche, Robert H

Abstract

This paper presents and implements a procedure which examines for empirical support for the location and scale condition. The Kolmogorov-Smirnov multisample test is used to determine if the distribution functions describing the nonsystematic risk component of rate of return for portfolios of common stock are equal to one another except for location and scale. Implications concerning the relationship between mean-variance and expected utility efficient sets are noted. Copyright 1992 by Royal Economic Society.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 102 (1992)
Issue (Month): 410 (January)
Pages: 91-106

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Handle: RePEc:ecj:econjl:v:102:y:1992:i:410:p:91-106

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Cited by:
  1. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  2. Kuwornu, John K.M. & Kuiper, W. Erno & Pennings, Joost M.E. & Meulenberg, Matthew T.G., 2005. "Incentive Provision and Coordination Costs in Food-Marketing Channels: A Multi-Stage Channel-Agency Theory Perspective," Journal of Food Distribution Research, Food Distribution Research Society, vol. 36(01), March.
  3. Erwin Bulte & Joost Pennings, 1997. "A Note on Overfishing, Fishing Rights and Futures Markets," European Journal of Law and Economics, Springer, vol. 4(4), pages 327-335, December.
  4. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  5. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
  6. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Futures Exchange Innovations: Reinforcement versus Cannibalism," Finance 9905003, EconWPA.
  7. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
  8. Thomas Eichner & Andreas Wagener, 2011. "Portfolio allocation and asset demand with mean-variance preferences," Theory and Decision, Springer, vol. 70(2), pages 179-193, February.
  9. Nelson, Carl H. & Ndjeunga, Jupiter, 1997. "Elliptical Symmetry, Expected Utility, And Mean-Variance Analysis," ACE Reports 14795, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  10. Pennings, Joost M.E. & Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2004. "The Impact of Market Advisory Service Recommendations on Producers' Marketing Decisions," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(02), August.
  11. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmon, Manuel, 2002. "Agricultural Risk Aversion Revisited: A Multicriteria Decision-Making Approach," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24827, European Association of Agricultural Economists.
  12. Perez-Mesa, Juan Carlos & Galdeano-Gomez, Emilio & Aznar-Sanchez, Jose A., 2011. "Management System for Harvest Scheduling: The Case of Horticultural Production in Southeast Spain," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association (IAMA), vol. 14(4).
  13. Pennings, Joost M. E., 2004. "A marketing-finance approach towards industrial channel contract relationships: a model and application," Journal of Business Research, Elsevier, vol. 57(6), pages 601-609, June.
  14. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer, vol. 27(3), pages 299-306, September.
  15. Ford, Stephen A. & Ford, Beth Pride & Spreen, Thomas H., 1995. "Evaluation Of Alternative Risk Specifications In Farm Programming Models," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 24(1), April.
  16. Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005,18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
  17. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  18. Pennings, Joost M.E. & Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2004. "The Impact Of Marketing Advisory Service Recommendations On Producers' Marketing Decisions," 2004 Annual meeting, August 1-4, Denver, CO 20389, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  19. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
  20. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
  21. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.

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