Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance
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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"Precautionary Saving in the Small and in the Large,"
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- Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, vol. 60, pages 151-151. Full references (including those not matched with items on IDEAS)
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