Portfolio efficiency tests based on stochastic dominance and co-integration
作者:
JATIK. SENGUPTA,
HYUNGS. PARK,
期刊:
International Journal of Systems Science
(Taylor Available online 1993)
卷期:
Volume 24,
issue 11
页码: 2135-2158
ISSN:0020-7721
年代: 1993
DOI:10.1080/00207729308949617
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The theory of dynamic portfolio behaviour is evaluated by estimating and comparing the relative efficiency of alternative mutual fund portfolios by means of stochastic dominance and co-integration tests. Varying market conditions such as bullish and bearish markets and volatility of temporal return variances are found to play a major role in the return generating process. Thus the risk-return relationship is found to be highly asymmetrical and some groups of mutual funds tend to outperform the others.
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