Li, Sheng and Linton, Oliver (2010) Evaluating hedge fund performance: a stochastic dominance approach. In: Guerard, John B., (ed.) Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques. Springer Berlin / Heidelberg, New York, USA, pp. 551-564. ISBN 9780387774381
Full text not available from this repository.Abstract
We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for stochastic dominance to compare the returns of hedge funds. We form hedge fund portfolios by using SD criteria and examine the out-of-sample performance of these hedge fund portfolios. Compared to performance of portfolios of randomly selected hedge funds and mean–variance efficient hedge funds, our results show that fund selection method based on SD criteria greatly improves the performance of hedge fund portfolio.
| Item Type: | Book Section |
|---|---|
| Official URL: | http://www.springer.com |
| Additional Information: | © 2010 Springer |
| Divisions: | Economics STICERD Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| Date Deposited: | 03 May 2011 11:18 |
| Last Modified: | 15 Sep 2023 09:37 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35798 |
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