search query: @indexterm Stochastic dominance / total: 10
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| Author: | Bowden, R. |
| Title: | The ordered mean difference as a portfolio performance measure |
| Journal: | Journal of Empirical Finance
2000 : AUG, VOL. 7:2, p. 195-223 |
| Index terms: | BENCHMARKING DEALER SPREADS STOCHASTIC DOMINANCE |
| Language: | eng |
| Abstract: | The ordered mean difference function is a running mean of the difference between returns on a given fund or security and a benchmark such as the market portfolio, ordered by values of the benchmark. The expectation of this function, conditional on the observed series of benchmark returns, can be used as a portfolio performance measure. Such a formulation is the financial counterpart of the equivalent variation of welfare economics, which in the present context can be regarded as the resource rental value of the manager's market timing ability. |
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