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Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance

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  • Giuseppe De Nadai

    ()
    (Department of Applied Mathematics, University of Venice)

  • Paolo Pianca

    ()
    (Department of Applied Mathematics, University of Venice)

Abstract

In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of aversion and of seeking to risk both hypothesis on the sign of derived second of the function which characterizes the losses and gains.

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File URL: http://virgo.unive.it/wpideas/storage/2007wp157.pdf
File Function: First version, 2007
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Bibliographic Info

Paper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 157.

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Length: 17 pages
Date of creation: Oct 2007
Date of revision:
Handle: RePEc:vnm:wpaper:157

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  1. Miles S. Kimball, 1989. "Precautionary Saving in the Small and in the Large," NBER Working Papers 2848, National Bureau of Economic Research, Inc.
  2. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, Springer, vol. 5(4), pages 297-323, October.
  3. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
  4. Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 60, pages 151.
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