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Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza
[Consistency in the evaluation of financial investment performance: Mean-variance versus stochastic dominance tests]

Author

Listed:
  • Pinto, Cristian F.
  • Acuña, Andres A.

Abstract

In this paper we analize the consistency of financial indexes and the ordering of investments based on the mean-variance and the stochastic dominance (SD) approaches. We take 47 mutual funds from the Chilean financial market in order to compute several algorithms that enable us to verify stochastic dominance relationships in their first (FSD), second (SSD), and third order (TSD). We found evidence that both approaches generate similar sets of efficient investments. However, there are important dissimilarities between the rankings elaborated according the mean-variance and the TSD criteria.

Suggested Citation

  • Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza [Consistency in the evaluation of financial investment perform," MPRA Paper 31301, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:31301
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    References listed on IDEAS

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    More about this item

    Keywords

    portfolio; risk; Sharpe index; stochastic dominance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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