Levy and Levy (2002, 2004) and others extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD (MSD) theory for investors with S-shaped and reverse S-shaped (RS-shaped) utility functions. Davidson and Duclos (DD, 2000)...

To circumvent the limitations of the Sharpe-ratio statistic on testing small samples, we develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. We provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most...

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

Chow, et al. (2016) use the theory of ascending stochastic dominance (ASD), descending stochastic dominance (DSD) to develop stochastic dominance (SD) tests for richness and poorness. In this paper, we extend their work by applying Markowitz stochastic dominance (MSD) and prospect stochastic...

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from...

The famous Hiemstra-Jones test (HJ test) developed by Hiemstra and Jones plays a significant role in studying nonlinear causality. In the last two decades there are numerous applications and theoretical extensions based on this pioneering work. However, several works pointed out that...

In this paper, we provide evidence that the mean-variance-ratio (MVR) test is superior to the Sharpe ratio (SR) test by applying both tests to analyze the performance of commodity trading advisors (CTAs). Our findings show that while the SR test concludes that most of the CTA funds being...