Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden

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Autores

John Freddy Moreno Trujillo

Resumen

Se presentan los conceptos básicos de la teoría de dominancia estocástica y la definición de medidas de desempeño por cociente de Farinelli y Tibiletti (FT). Se establece una relación de consistencia entre la selección de prospectos de inversión por dominancia estocástica y las medidas FT y se muestra una extensión de esta relación al caso de la medida de desempeño Omega.

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Referencias

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