Performance measures by quotients and stochastic dominance of first and second order

John Freddy Moreno Trujillo

Resumen


We present the basic concepts of stochastic dominance theory and the definition of measures of performance by quotient of Farinelli and Tibiletti (FT). A consistency relationship is established between the selection of investment prospects by stochastic dominance and the FT measures and an extension of this relation is shown to the case of the Omega performance measure.


Palabras clave


Performance measures, stochastic dominance.

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DOI: https://doi.org/10.18601/17941113.n12.06

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Publicado: 2017-11-09 12:38:50



Copyright (c) 2017 John Freddy Moreno Trujillo

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Este obra está bajo una licencia de Creative Commons Reconocimiento-NoComercial 4.0 Internacional.