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Stochastic dominance analysis of Asian hedge funds
16 references·16 citing·26 second hopsampled
Stochastic dominance analysis of Asian hedge funds (2007)Stochastic dominance analysis of Asian he…Theory of games and economic behavior (2019)Theory of games and economic …How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Optimization of conditional value-at-risk (2000)Optimization of conditional v…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Portfolio Selection (1952)Portfolio SelectionThe Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak (2021)Human capital efficiency, per…Review on Efficiency and Anomalies in Stock Markets (2020)Review on Efficiency and Anom…Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices (2020)Gold and portfolio diversific…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS (2015)THEORIES OF RISK: TESTING INV…Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange (2015)Is gold good for portfolio di…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China (2014)Stochastic dominance statisti…International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches (2014)International Diversification…A New Pseudo-Bayesian Model with Implications for Financial Anomalies and Investors’ Behavior (2012)A New Pseudo-Bayesian Model w…Test statistics for prospect and Markowitz stochastic dominances with applications (2011)Test statistics for prospect …Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach (2011)Empirical test of the efficie…An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment (2011)An Improved Estimation to Mak…Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…Mapping the Presidential Election Cycle in US stock markets (2009)Mapping the Presidential Elec…Gains from diversification on convex combinations: A majorization and stochastic dominance approach (2009)Gains from diversification on…Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)A Method for Evaluating the Distribution of Power in a Committee System (1954)Measurement of health state utilities for economic appraisal (1986)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1945The Theory of Games and Economic Behavior5,134 cited
  • 1952Portfolio Selection4,609 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1999

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The Performance of Hedge Funds: Risk, Return, and Incentives
1,101 cited

Cited by

  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 2017Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices102 cited
  • 2015Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange92 cited
  • 2020Review on Efficiency and Anomalies in Stock Markets89 cited
  • 2011Test statistics for prospect and Markowitz stochastic dominances with applications87 cited
  • 2009Gains from diversification on convex combinations: A majorization and stochastic dominance approach80 cited
  • 2011An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment76 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2014Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China68 cited
  • 2011Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach63 cited
  • 2009Mapping the Presidential Election Cycle in US stock markets58 cited
  • 2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices54 cited
  • 2012A New Pseudo-Bayesian Model with Implications for Financial Anomalies and Investors’ Behavior50 cited
  • 2014International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches50 cited
  • 2021Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak49 cited
  • 2015THEORIES OF RISK: TESTING INVESTOR BEHAVIOR ON THE TAIWAN STOCK AND STOCK INDEX FUTURES MARKETS49 cited