Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden
Performance measures by quotients and stochastic dominance of first and second order
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Moreno Trujillo, J.F. 2017. Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden. ODEON. 12 (nov. 2017), 147–157. DOI:https://doi.org/10.18601/17941113.n12.06.
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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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Artzner, P., Delbaen, F., Eber, J. M. y Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228.
Farinelli, S. y Tibiletti, L. (2008). Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research, 185(3), 1542-1547.
Farinelli, S., Rossello, D. y Tibiletti, L. (2006, May). Computational asset allocation using one-sided and two-sided variability measures. In International Conference on Computational Science (pp. 324-331). Springer, Berlin, Heidelberg.
Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review, 67(2), 116-126.
Fishburn, P. C. (1980). Stochastic dominance and moments of distributions. Mathematics of Operations Research, 5(1), 94-100.
Fong, W. M. (2016). Stochastic dominance and the omega ratio. Finance Research Letters, 17, 7-9.
Guo, X. y Wong, W. K. (2016). Multivariate stochastic dominance for risk averters and risk seekers. rairo-Operations Research, 50(3), 575-586.
Keating, C. y Shadwick, W. F. (2002). A universal performance measure. Journal of performance measurement, 6(3), 59-84.
Keating, C. y Shadwick, W. F. (2002). An introduction to omega. aima Newsletter.
Leland, H. E. (1999). Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected). Financial Analysts Journal, 55(1), 27-36.
Levy, H. (2015). Stochastic dominance: Investment decision making under uncertainty. New York: Springer.
Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management science, 38(4), 555-593.
Ma, C. y Wong, W. K. (2010). Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR. European Journal of Operational Research, 207(2), 927-935.
Niu, C., Wong, W. K. y Zhu, L. (2016). First Stochastic Dominance and Risk Measurement.
Ogryczak, W. y Ruszczyński, A. (1999). From stochastic dominance to mean-risk models: Semideviations as risk measures. European Journal of Operational Research, 116(1), 33-50.
Roy, A. D. (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, 431-449.
Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
Sharpe, W. F. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49-58.
Sortino, F., van der Meer, R. y Plantinga, A. (1999). The upside potential ratio. Journal of Performance Measurement, 4(1), 10-15.
Whitmore, G. A. (1970). Third-degree stochastic dominance. The American Economic Review, 60(3), 457-459.
Farinelli, S. y Tibiletti, L. (2008). Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research, 185(3), 1542-1547.
Farinelli, S., Rossello, D. y Tibiletti, L. (2006, May). Computational asset allocation using one-sided and two-sided variability measures. In International Conference on Computational Science (pp. 324-331). Springer, Berlin, Heidelberg.
Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review, 67(2), 116-126.
Fishburn, P. C. (1980). Stochastic dominance and moments of distributions. Mathematics of Operations Research, 5(1), 94-100.
Fong, W. M. (2016). Stochastic dominance and the omega ratio. Finance Research Letters, 17, 7-9.
Guo, X. y Wong, W. K. (2016). Multivariate stochastic dominance for risk averters and risk seekers. rairo-Operations Research, 50(3), 575-586.
Keating, C. y Shadwick, W. F. (2002). A universal performance measure. Journal of performance measurement, 6(3), 59-84.
Keating, C. y Shadwick, W. F. (2002). An introduction to omega. aima Newsletter.
Leland, H. E. (1999). Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected). Financial Analysts Journal, 55(1), 27-36.
Levy, H. (2015). Stochastic dominance: Investment decision making under uncertainty. New York: Springer.
Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management science, 38(4), 555-593.
Ma, C. y Wong, W. K. (2010). Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR. European Journal of Operational Research, 207(2), 927-935.
Niu, C., Wong, W. K. y Zhu, L. (2016). First Stochastic Dominance and Risk Measurement.
Ogryczak, W. y Ruszczyński, A. (1999). From stochastic dominance to mean-risk models: Semideviations as risk measures. European Journal of Operational Research, 116(1), 33-50.
Roy, A. D. (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, 431-449.
Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
Sharpe, W. F. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49-58.
Sortino, F., van der Meer, R. y Plantinga, A. (1999). The upside potential ratio. Journal of Performance Measurement, 4(1), 10-15.
Whitmore, G. A. (1970). Third-degree stochastic dominance. The American Economic Review, 60(3), 457-459.
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