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Ranking mutual funds using unconventional utility theory and stochastic dominance

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  • Vinod, H. D.

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 11 (2004)
Issue (Month): 3 (June)
Pages: 353-377

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Handle: RePEc:eee:empfin:v:11:y:2004:i:3:p:353-377

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Larsen, Glen A, Jr & Resnick, Bruce G, 1996. " Refining the Bootstrap Method of Stochastic Dominance Analysis: The Case of the January Effect," Review of Quantitative Finance and Accounting, Springer, vol. 7(1), pages 65-79, July.
  2. Vinod, H D, 1985. "Measurement of Economic Distance between Blacks and Whites," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 78-88, January.
  3. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
  4. Drazen Prelec, 1998. "The Probability Weighting Function," Econometrica, Econometric Society, vol. 66(3), pages 497-528, May.
  5. Gordon, Myron J & Paradis, G E & Rorke, C H, 1972. "Experimental Evidence on Alternative Portfolio Decision Rules," American Economic Review, American Economic Association, vol. 62(1), pages 107-18, March.
  6. Pamela K. Lattimore & Joanna R. Baker & A. Dryden Witte, 1992. "The Influence Of Probability on Risky Choice: A parametric Examination," NBER Technical Working Papers 0081, National Bureau of Economic Research, Inc.
  7. Davidson, Russell & Duclos, Jean-Yves, 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Cahiers de recherche 9805, Université Laval - Département d'économique.
  8. Thistle, Paul D., 1993. "Negative Moments, Risk Aversion, and Stochastic Dominance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(02), pages 301-311, June.
  9. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
  10. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
  11. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-93, September.
  12. Vinod, H D, 1985. "Measurement of Economic Distance between Blacks and Whites: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 408-09, October.
  13. Mittelhammer,Ron C. & Judge,George G. & Miller,Douglas J., 2000. "Econometric Foundations Pack with CD-ROM," Cambridge Books, Cambridge University Press, number 9780521623940, April.
  14. Lattimore, Pamela K. & Baker, Joanna R. & Witte, Ann D., 1992. "The influence of probability on risky choice: A parametric examination," Journal of Economic Behavior & Organization, Elsevier, vol. 17(3), pages 377-400, May.
  15. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
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