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Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza

Pinto, Cristian F. and Acuña, Andres (2011): Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza.

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Abstract

In this paper we analize the consistency of financial indexes and the ordering of investments based on the mean-variance and the stochastic dominance (SD) approaches. We take 47 mutual funds from the Chilean financial market in order to compute several algorithms that enable us to verify stochastic dominance relationships in their first (FSD), second (SSD), and third order (TSD). We found evidence that both approaches generate similar sets of efficient investments. However, there are important dissimilarities between the rankings elaborated according the mean-variance and the TSD criteria.

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