Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance

Giuseppe De Nadai () and Paolo Pianca
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Giuseppe De Nadai: Department of Applied Mathematics, University of Venice

No 157, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In this note using the rules of stochastic dominance of the second order and the recent cumulative prospect theory for classified, according to their performance, a set of common funds. The criteria used are closely linked to the preferences of decision maker and refer to either hypothesis of aversion and of seeking to risk both hypothesis on the sign of derived second of the function which characterizes the losses and gains.

JEL-codes: C44 C63 G11 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2007-10
New Economics Papers: this item is included in nep-cbe and nep-upt
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