Stochastic Dominance Analysis of CTA Funds

Stochastic Dominance Analysis of CTA Funds

In this paper, we employ the stochastic dominance (SD) approach to rank the performance of commodity trading advisors (CTA) funds. An advantage of this approach is that it alleviates the problems that can arise if CTA returns are not normally distributed by utilizing the entire returns distribution....

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Bibliographic Details
Main Authors: LEAN, Hooi Hooi, PHOON, Kok Fai, WONG, Wing Keung
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
commodity trading advisors funds
stochastic dominance
risk-averse investors
performance measurement.
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3074
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4073/viewcontent/Stochastic_Dominance_Analysis_CTA_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/3074
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4073/viewcontent/Stochastic_Dominance_Analysis_CTA_av.pdf

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