Stochastic Dominance of CTA Funds

• Main Authors: Hooi, Hooi Lean, PHOON, Kok Fai, Wong, Wing-Keung
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: commodity trading advisors funds; stochastic dominance; risk-averse investors; performance measurement.; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3289; https://link.springer.com/article/10.1007%2Fs11156-012-0284-1?LI=true#
• 機構: Singapore Management University

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....