Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.pacfin.2007.07.001
Title: Stochastic dominance analysis of Asian hedge funds
Authors: Wong, W.-K. 
Phoon, K.F.
Lean, H.H.
Keywords: Hedge funds
Performance measurement
Risk-averse investors
Stochastic dominance
Issue Date: 2008
Source: Wong, W.-K.,Phoon, K.F.,Lean, H.H. (2008). Stochastic dominance analysis of Asian hedge funds. Pacific Basin Finance Journal 16 (3) : 204-223. ScholarBank@NUS Repository. https://doi.org/10.1016/j.pacfin.2007.07.001
Abstract: We employ the stochastic dominance approach that utilizes the entire return distribution to rank the performance of Asian hedge funds as traditional mean-variance and CAPM approaches could be inappropriate given the nature of non-normal returns. We find both first-order and higher-order stochastic dominance relationships amongst the funds and conclude that investors would be better off by investing in the first-order dominant funds to maximize their expected wealth. By investing in higher-order dominant funds, risk-averse investors can maximize their expected utilities but not their wealth. In addition, we find the common characteristic for most pairs of funds is that one fund is preferred to another in the negative domain whereas the preference reverses in the positive domain. We conclude that the stochastic dominance approach is more appropriate compared with traditional approaches as a filter in hedge fund selection. Compared with traditional approaches, the SD approach, not only is assumption free, but also provides greater insights to the performance and risk inherent in a hedge fund's track record. © 2007 Elsevier B.V. All rights reserved.
Source Title: Pacific Basin Finance Journal
URI: http://scholarbank.nus.edu.sg/handle/10635/22298
ISSN: 0927538X
DOI: 10.1016/j.pacfin.2007.07.001
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

38
checked on Dec 12, 2017

Page view(s)

152
checked on Dec 15, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.