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Non-parametric tests of portfolio efficiency under static and dynamic conditions
Journal article   Peer reviewed

Non-parametric tests of portfolio efficiency under static and dynamic conditions

Edward Dumas and Jati K Sengupta
International journal of systems science, Vol.22(10), pp.1929-1939
10/01/1991

Abstract

Economics Finance
A set of non-parametric tests which includes the stochastic dominance criteria is developed here for evaluating the performance of mutual fund portfolios in relation to the market index. The empirical results support the hypothesis that some funds tend to dominte the market on the average, when a second-order stochastic dominance criterion is used.
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https://doi.org/10.1080/00207729108910759View
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