STOCHASTIC-DOMINANCE AND TRUNCATED SAMPLE DATA

被引：9

作者：

BENHORIM, M ^{[1
]}

机构：

[1] NORTHEASTERN UNIV,BOSTON,MA 02115

来源：

JOURNAL OF FINANCIAL RESEARCH | 1990年 / 13卷 / 02期

关键词：

D O I：

10.1111/j.1475-6803.1990.tb00541.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The purpose of this paper is to examine whether the chance of making erroneous investment decisions can be reduced by applying stochastic dominance rules to truncated, rather than complete, sample data of rates of return. A simulation approach is used that assumes the rates of return follow the symmetric stable probability distribution. Using a variety of relationships between probability distributions of rates of return, it is demonstrated that sample truncation has the potential of significantly reducing sampling errors in the selection between alternative investments. © The Southern Finance Association and the Southwestern Finance Association

引用

页码：105 / 116

页数：12