Non-parametric tests of portfolio efficiency under static and dynamic conditions†

DOI10.1080/00207729108910759zbMath0742.90013OpenAlexW2056642770MaRDI QIDQ3982043

E. B. Dumas, Jati K. Sengupta

Publication date: 26 June 1992

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729108910759

zbMATH Keywords

non-parametric testsmarket indexperformance of mutual fund portfoliosstochastic dominance criteria

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Stochastic optimization and economic models
• Finite Markov processes in psychology
• Unnamed Item

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