Stochastic Dominance Analysis of iShares

By D. Gasbarro, Wing-Keung Wong, Kenton Zumwalt. 2007

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Soil Science

View Paper: https://www.semanticscholar.org/paper/3cae3268d06f36c7ab1d34076ee655924421f909

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Michael Wolf
2. Olivier Ledoit
3. Wing-Keung Wong
4. K. Phoon
5. Hooi Hooi Lean
6. Victor DeMiguel
7. Francisco Javier Nogales
8. Jiahan Li

In Soil Science

1. Hooi Hooi Lean
2. K. Phoon
3. Wing-Keung Wong

Citations in the corpus

• Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, background): “It appears that the status quo in the applied literature is the test of Jobson and Korkie (1981) and its corrected version by Memmel (2003); for example, see Benninga and Disatnik (2007), DeMiguel et al. (2007), DeMiguel and Nogales (2007), and Gasbarro et al. (2007), among others.”
• Stochastic dominance analysis of Asian hedge funds (2008, methodology): “In order to minimize the Type II error and to accommodate the effect of almost SD (Leshno and Levy, 2002), we follow Gasbarro et al. (2007) to use a conservative 5% cut-off point for the proportion of test statistics in statistical inference.”