Efficient Diversification According to Stochastic Dominance Criteria

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Gains from diversification on convex combinations: A majorization and stochastic dominance approach

By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combination...

Performance Measurement and Best-Practice Benchmarking of Mutual Funds: Combining Stochastic Dominance criteria with Data Envelopment Analysis

We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelo...

Effi cient Diversification under Generalized Almost Stochastic Dominance

Stochastic dominance (SD) has been identified as an important method for effi cient diversification. However, the SD rule is too rigid in that it remains silent on some obvious preferences between two distributions for most investors as pointed out by Leshno and Levy (2002). Thus the purpose of this paper is to derive an effi cient frontier according to generalized almost stochastic dominance (...

Data envelopment analysis of mutual funds based on second-order stochastic dominance

Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed MF. This neglects the important effects...