We employ the stochastic dominance approach that utilizes the entire return distribution to
rank the performance of Asian hedge funds as traditional mean-variance and CAPM …

In this paper, we employ the stochastic dominance (SD) approach to rank the performance
of commodity trading advisors (CTA) funds. An advantage of this approach is that it …

Dollar cost averaging—spreading an investor's stock purchases evenly over time—is widely
touted in the popular press because of the mathematical fact that the average cost per share …

This article examines the recent and dramatic rise of emerging markets private equity fund
investment programs within multilateral development finance institutions (MDFIs). Data is …

The correlation structure across assets and opposite tail movements are essential to the
asset allocation problem, since they determine the level of risk in a position. Correlation …

This study investigates if semi-variance could be used to predict financial distress
experienced by companies on Bursa Malaysia. A panel data set of 12,906 firm-year …

This study aims to shed light on a freely published mutual fund screening tool—the capture
ratio—and its ability to predict future fund performance (ie, alpha). This analysis is of interest …

We employ the stochastic dominance (SD) approach that utilizes the entire return
distribution to rank the performance of exchange-traded funds as traditional mean-variance …

This chapter explains the history and discusses the future prospects and challenges facing
Singapore's financial markets. Singapore's financial sector is unique in that government …

Upside and downside capture ratios are used to assess the quality of investment managers
and investment strategies. We propose a simple theoretical model which predicts that the …