Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza
[Consistency in the evaluation of financial investment performance: Mean-variance versus stochastic dominance tests]
AbstractIn this paper we analize the consistency of financial indexes and the ordering of investments based on the mean-variance and the stochastic dominance (SD) approaches. We take 47 mutual funds from the Chilean financial market in order to compute several algorithms that enable us to verify stochastic dominance relationships in their first (FSD), second (SSD), and third order (TSD). We found evidence that both approaches generate similar sets of efficient investments. However, there are important dissimilarities between the rankings elaborated according the mean-variance and the TSD criteria.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31301.
Date of creation: Jun 2011
Date of revision:
portfolio; risk; Sharpe index; stochastic dominance;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
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