首页   按字顺浏览 期刊浏览 卷期浏览 Portfolio efficiency tests based on stochastic dominance and co-integration
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.

 

点击下载:  PDF (729KB)



返 回