 Ordered Mean Difference Benchmarking, Utility Generators and Capital Market EquilibiriumRoger Bowden No 33493, Working Paper Series from Victoria University of Wellington, School of Economics and Finance Abstract: Originally designed as a fund performance measure, the ordered mean difference construction is extended to characterise zero surplus situations such as a capital market equilibrium generated by arbitrary risk preferences. This enables non parametric testing for whether CAPM applies and the detection of pricing inefficiences or anomalies from historical data, including international capital market segmentation. Any risk averse utility function can be decomposed into a weighted average of elementary put option profile or 'gnomic' utility functions, which collectively generate the OMD areas. The risk profile of the investor can be summarised in terms of a representative gnome, as can the market risk premium. Pricing efficiency turns on whether such a representative gnome exists. Keywords: Benchmarking; CAPM; capital market segmentation; equivalent margin fund performance; generalised distributions; investor surplus; market efficiency; ordered mean difference; risk premium; running mean operator; utility generators (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:33493 Access Statistics for this paper More papers in Working Paper Series from Victoria University of Wellington, School of Economics and Finance Alice Fong, Administrator, School of Economics and Finance, Victoria Business School, Victoria University of Wellington, PO Box 600 Wellington, New Zealand. Contact information at EDIRC. |
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