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| Tekijä: | Korkie, B. |
| Otsikko: | Inferences for arbitrage profits and stochastic dominance in managed portfolios |
| Lehti: | International Review of Financial Analysis
1993 : VOL. 2:2, p. 97-119 |
| Asiasana: | ARBITRAGE PROFIT TEST STATISTICS |
| Kieli: | eng |
| Tiivistelmä: | This paper develops relations between arbitrage and second degree stochastic dominance for the purpose of performance analyses. The stochastic dominance conditions are similar to the average arbitrage profits criterion used in the literature but include a rationality restriction on the return forecast errors. An additive, separable partitioning of a portfolio's return into arbitrage timing and arbitrage selectivity components permits more specific analysis. Test statistics are developed. |
SCIMA