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Ranking mutual funds using unconventional utility theory and stochastic dominance

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Talha Yalta, A. & Cakar, Hatice, 2012. "Energy consumption and economic growth in China: A reconciliation," Energy Policy, Elsevier, vol. 41(C), pages 666-675.
  24. 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.
  25. Bakis, Ozan & Karanfil, Fatih & Polat, Sezgin, 2012. "Interactions between bank behavior and financial structure: evidence from a developing country," GIAM Working Papers 12-1, Galatasaray University Economic Research Center.
  26. 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.
  27. 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).
  28. repec:ebl:ecbull:v:7:y:2007:i:2:p:1-9 is not listed on IDEAS
  29. 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.
  30. 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.
  31. 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.
  32. Yalta, A. Yasemin, 2013. "Revisiting the FDI-led growth Hypothesis: The case of China," Economic Modelling, Elsevier, vol. 31(C), pages 335-343.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. Vinod, Hrishikesh D. & Lopez-de-Lacalle, Javier, 2009. "Maximum Entropy Bootstrap for Time Series: The meboot R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 29(i05).
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Lekha S. Chakraborty, 2015. "Fiscal Seigniorage “Laffer-curve effect†on Central Bank Autonomy in India," Working Papers id:7754, eSocialSciences.
  45. 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.
  46. 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).
  47. repec:jss:jstsof:29:i05 is not listed on IDEAS
  48. Dominique Guegan & Philippe de Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Working Papers halshs-00721327, HAL.
  49. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
  50. 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.
  51. 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.
  52. 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.
  53. 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.
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