Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance

In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of aversion and of seeking to risk both hypothesis on the sign of derived second of the function which characterizes the losses and gains.

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Year of publication:	2007-10
Authors:	Nadai, Giuseppe De ; Pianca, Paolo
Institutions:	Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia

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Extent:	application/pdf
Series:	Working Papers. - ISSN 1828-6887.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 157 17 pages
Classification:	G11 - Portfolio Choice ; C44 - Statistical Decision Theory; Operations Research ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076135