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Ranking mutual funds using unconventional utility theory and stochastic dominance

Citations

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Cited by:

  1. Jamila Abaidi Hasnaoui & Syed Kumail Abbas Rizvi & Krishna Reddy & Nawazish Mirza & Bushra Naqvi, 2021. "Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 360-375, September.
  2. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
  3. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," JRFM, MDPI, vol. 1(1), pages 1-40, December.
  4. Hrishikesh Vinod & Lekha S. Chakraborty & Honey Karun, 2014. "If Deficits Are Not the Culprit, What Determines Indian Interest Rates? An Evaluation Using the Maximum Entropy Bootstrap Method," Economics Working Paper Archive wp_811, Levy Economics Institute.
  5. Rohin Anhal, 2013. "Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 434-446.
  6. Chakraborty, Lekha, 2015. "Fiscal Seigniorage "Laffer-curve effect" on Central Bank Autonomy in India," Working Papers 15/156, National Institute of Public Finance and Policy.
  7. Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Alptekin, Aynur & Broadstock, David C. & Chen, Xiaoqi & Wang, Dong, 2019. "Time-varying parameter energy demand functions: Benchmarking state-space methods against rolling-regressions," Energy Economics, Elsevier, vol. 82(C), pages 26-41.
  9. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
  10. Dominique Guégan & Philippe Peretti, 2013. "An omnibus test to detect time-heterogeneity in time series," Computational Statistics, Springer, vol. 28(3), pages 1225-1239, June.
  11. A. Talha Yalta, 2013. "Small Sample Bootstrap Inference of Level Relationships in the Presence of Autocorrelated Errors: A Large Scale Simulation Study and an Application in Energy Demand," Working Papers 1301, TOBB University of Economics and Technology, Department of Economics.
  12. A. Talha Yalta, 2013. "The Dynamics of Road Energy Demand and Illegal Fuel Activity in Turkey: A Rolling Window Analysis," Working Papers 1304, TOBB University of Economics and Technology, Department of Economics, revised Jul 2013.
  13. Yalta, A. Talha & Yalta, A. Yasemin, 2016. "The dynamics of fuel demand and illegal fuel activity in Turkey," Energy Economics, Elsevier, vol. 54(C), pages 144-158.
  14. Ozan Bakis & Fatih Karanfil & Sezgin Polat, 2012. "Interactions between bank behavior and financial structure: evidence from a developing country," GIAM Working Papers 12-1, Galatasaray University Economic Research Center.
  15. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics.
  16. Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017. "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper 75948, University Library of Munich, Germany.
  17. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
  18. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
  19. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
  20. Galip Altinay & A. Talha Yalta, 2016. "Estimating the evolution of elasticities of natural gas demand: the case of Istanbul, Turkey," Empirical Economics, Springer, vol. 51(1), pages 201-220, August.
  21. Lekha S. Chakraborty, 2015. "Fiscal Seigniorage “Laffer-curve effect†on Central Bank Autonomy in India," Working Papers id:7754, eSocialSciences.
  22. Meira, Erick & Cyrino Oliveira, Fernando Luiz & de Menezes, Lilian M., 2022. "Forecasting natural gas consumption using Bagging and modified regularization techniques," Energy Economics, Elsevier, vol. 106(C).
  23. repec:jss:jstsof:29:i05 is not listed on IDEAS
  24. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
  25. Alam, Mohammad Jahangir & Ahmed, Mumtaz & Begum, Ismat Ara, 2017. "Nexus between non-renewable energy demand and economic growth in Bangladesh: Application of Maximum Entropy Bootstrap approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 72(C), pages 399-406.
  26. Fang, Zheng & Chen, Yang, 2017. "Human capital, energy, and economic development – Evidence from Chinese provincial data," RIEI Working Papers 2017-03, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
  27. Yalta, A. Talha, 2011. "Analyzing energy consumption and GDP nexus using maximum entropy bootstrap: The case of Turkey," Energy Economics, Elsevier, vol. 33(3), pages 453-460, May.
  28. Hrishikesh D. Vinod & Surendra K. Kaushik, 2007. "Human Capital and Economic Growth: Evidence from Developing Countries," The American Economist, Sage Publications, vol. 51(1), pages 29-39, March.
  29. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  30. Mynbayeva, Elmira & Lamb, John D. & Zhao, Yuan, 2022. "Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it," European Journal of Operational Research, Elsevier, vol. 301(2), pages 694-707.
  31. Chen, Yang & Fang, Zheng, 2018. "Industrial electricity consumption, human capital investment and economic growth in Chinese cities," Economic Modelling, Elsevier, vol. 69(C), pages 205-219.
  32. Cuizhen Niu & Wing-Keung Wong & Qunfang Xu, 2017. "Kappa ratios and (higher-order) stochastic dominance," Risk Management, Palgrave Macmillan, vol. 19(3), pages 245-253, August.
  33. Han Lin Shang, 2017. "Reconciling Forecasts of Infant Mortality Rates at National and Sub-National Levels: Grouped Time-Series Methods," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 36(1), pages 55-84, February.
  34. Mirza, Nawazish & Abbas Rizvi, Syed Kumail & Saba, Irum & Naqvi, Bushra & Yarovaya, Larisa, 2022. "The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 276-295.
  35. A. Yasemin Yalta, 2011. "New Evidence on FDI-Led Growth: The Case of China," Working Papers 1107, TOBB University of Economics and Technology, Department of Economics.
  36. Talha Yalta, A. & Cakar, Hatice, 2012. "Energy consumption and economic growth in China: A reconciliation," Energy Policy, Elsevier, vol. 41(C), pages 666-675.
  37. H. D. Vinod & D. F. Hsu & Y. Tian, 2008. "Combining Multiple Criterion Systems for Improving Portfolio Performance," Fordham Economics Discussion Paper Series dp2008-07, Fordham University, Department of Economics.
  38. Vinod, H.D., 2024. "Portfolio choice algorithms, including exact stochastic dominance," Journal of Financial Stability, Elsevier, vol. 70(C).
  39. Chan, Raymond H. & Chow, Sheung-Chi & Guo, Xu & Wong, Wing-Keung, 2022. "Central moments, stochastic dominance, moment rule, and diversification with an application," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
  40. repec:ebl:ecbull:v:7:y:2007:i:2:p:1-9 is not listed on IDEAS
  41. H.D. Vinod, 2016. "New bootstrap inference for spurious regression problems," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(2), pages 317-335, February.
  42. Yalta, A. Yasemin, 2013. "Revisiting the FDI-led growth Hypothesis: The case of China," Economic Modelling, Elsevier, vol. 31(C), pages 335-343.
  43. Wong, Wing-Keung, 2007. "Stochastic dominance and mean-variance measures of profit and loss for business planning and investment," European Journal of Operational Research, Elsevier, vol. 182(2), pages 829-843, October.
  44. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
  45. Miroslav Plašil, 2011. "Potenciální produkt, mezera výstupu a míra nejistoty spojená s jejich určením při použití Hodrick-Prescottova filtru [Potential Product, Output Gap and Uncertainty Rate Associated with Their Determ," Politická ekonomie, Prague University of Economics and Business, vol. 2011(4), pages 490-507.
  46. Vinod, Hrishikesh D., 2006. "Maximum entropy ensembles for time series inference in economics," Journal of Asian Economics, Elsevier, vol. 17(6), pages 955-978, December.
  47. A. Talha Yalta, 2016. "Bootstrap Inference of Level Relationships in the Presence of Serially Correlated Errors: A Large Scale Simulation Study and an Application in Energy Demand," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 339-366, August.
  48. Shang, Han Lin, 2017. "Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration," Econometrics and Statistics, Elsevier, vol. 1(C), pages 184-200.
  49. Pornanong Budsaratragoon & Boonlert Jitmaneeroj, 2021. "Fund Ratings of Socially Responsible Investing (SRI) Funds: A Precautionary Note," Sustainability, MDPI, vol. 13(14), pages 1-25, July.
  50. Fang, Zheng & Chen, Yang, 2017. "Electricity consumption, Education Expenditure and Economic Growth in Chinese Cities," RIEI Working Papers 2017-02, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
  51. Dominique Guegan & Philippe de Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Working Papers halshs-00721327, HAL.
  52. Alain Guéniche & Philippe Dupuy & Wan Ni Lai, 2023. "Price contingent and price-volume contingent portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 173-183, May.
  53. Ahmed, Mumtaz & Riaz, Khalid & Maqbool Khan, Atif & Bibi, Salma, 2015. "Energy consumption–economic growth nexus for Pakistan: Taming the untamed," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 890-896.
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