Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden
Se presentan los conceptos básicos de la teoría de dominancia estocástica y la definición de medidas de desempeño por cociente de Farinelli y Tibiletti (FT). Se establece una relación de consistencia entre la selección de prospectos de inversión por dominancia estocástica y las medidas FT y se muest...
- Autores:
-
Moreno Trujillo, John Freddy
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2017
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7657
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7657
https://doi.org/10.18601/17941113.n12.06
- Palabra clave:
- Performance measures
stochastic dominance
medidas de desempeño
dominancia estocástica
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2
| id |
uexternad2_65d490de5e762780f6b8501838322b83 |
|---|---|
| oai_identifier_str |
oai:bdigital.uexternado.edu.co:001/7657 |
| network_acronym_str |
uexternad2 |
| network_name_str |
Biblioteca Digital Universidad Externado de Colombia |
| repository_id_str |
|
| dc.title.spa.fl_str_mv |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| dc.title.translated.eng.fl_str_mv |
Performance measures by quotients and stochastic dominance of first and second order |
| title |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| spellingShingle |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden Performance measures stochastic dominance medidas de desempeño dominancia estocástica |
| title_short |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| title_full |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| title_fullStr |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| title_full_unstemmed |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| title_sort |
Medidas de desempeño por cocientes y dominancia estocástica de primer y segundo orden |
| dc.creator.fl_str_mv |
Moreno Trujillo, John Freddy |
| dc.contributor.author.none.fl_str_mv |
Moreno Trujillo, John Freddy |
| dc.subject.eng.fl_str_mv |
Performance measures stochastic dominance |
| topic |
Performance measures stochastic dominance medidas de desempeño dominancia estocástica |
| dc.subject.spa.fl_str_mv |
medidas de desempeño dominancia estocástica |
| description |
Se presentan los conceptos básicos de la teoría de dominancia estocástica y la definición de medidas de desempeño por cociente de Farinelli y Tibiletti (FT). Se establece una relación de consistencia entre la selección de prospectos de inversión por dominancia estocástica y las medidas FT y se muestra una extensión de esta relación al caso de la medida de desempeño Omega. |
| publishDate |
2017 |
| dc.date.accessioned.none.fl_str_mv |
2017-11-09 00:00:00 2022-09-08T13:40:24Z |
| dc.date.available.none.fl_str_mv |
2017-11-09 00:00:00 2022-09-08T13:40:24Z |
| dc.date.issued.none.fl_str_mv |
2017-11-09 |
| dc.type.spa.fl_str_mv |
Artículo de revista |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
| dc.type.coar.spa.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_6501 |
| dc.type.coarversion.spa.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| dc.type.content.spa.fl_str_mv |
Text |
| dc.type.driver.spa.fl_str_mv |
info:eu-repo/semantics/article |
| dc.type.local.eng.fl_str_mv |
Journal article |
| dc.type.redcol.spa.fl_str_mv |
http://purl.org/redcol/resource_type/ARTREF |
| dc.type.version.spa.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| format |
http://purl.org/coar/resource_type/c_6501 |
| status_str |
publishedVersion |
| dc.identifier.doi.none.fl_str_mv |
10.18601/17941113.n12.06 |
| dc.identifier.eissn.none.fl_str_mv |
2346-2140 |
| dc.identifier.issn.none.fl_str_mv |
1794-1113 |
| dc.identifier.uri.none.fl_str_mv |
https://bdigital.uexternado.edu.co/handle/001/7657 |
| dc.identifier.url.none.fl_str_mv |
https://doi.org/10.18601/17941113.n12.06 |
| identifier_str_mv |
10.18601/17941113.n12.06 2346-2140 1794-1113 |
| url |
https://bdigital.uexternado.edu.co/handle/001/7657 https://doi.org/10.18601/17941113.n12.06 |
| dc.language.iso.spa.fl_str_mv |
spa |
| language |
spa |
| dc.relation.bitstream.none.fl_str_mv |
https://revistas.uexternado.edu.co/index.php/odeon/article/download/5099/6155 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5099/6349 |
| dc.relation.citationedition.spa.fl_str_mv |
Núm. 12 , Año 2017 : Enero-Junio |
| dc.relation.citationendpage.none.fl_str_mv |
157 |
| dc.relation.citationissue.spa.fl_str_mv |
12 |
| dc.relation.citationstartpage.none.fl_str_mv |
147 |
| dc.relation.ispartofjournal.spa.fl_str_mv |
Odeon |
| dc.relation.references.spa.fl_str_mv |
Artzner, P., Delbaen, F., Eber, J. M. y Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228. Farinelli, S. y Tibiletti, L. (2008). Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research, 185(3), 1542-1547. Farinelli, S., Rossello, D. y Tibiletti, L. (2006, May). Computational asset allocation using one-sided and two-sided variability measures. In International Conference on Computational Science (pp. 324-331). Springer, Berlin, Heidelberg. Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review, 67(2), 116-126. Fishburn, P. C. (1980). Stochastic dominance and moments of distributions. Mathematics of Operations Research, 5(1), 94-100. Fong, W. M. (2016). Stochastic dominance and the omega ratio. Finance Research Letters, 17, 7-9. Guo, X. y Wong, W. K. (2016). Multivariate stochastic dominance for risk averters and risk seekers. rairo-Operations Research, 50(3), 575-586. Keating, C. y Shadwick, W. F. (2002). A universal performance measure. Journal of performance measurement, 6(3), 59-84. Keating, C. y Shadwick, W. F. (2002). An introduction to omega. aima Newsletter. Leland, H. E. (1999). Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected). Financial Analysts Journal, 55(1), 27-36. Levy, H. (2015). Stochastic dominance: Investment decision making under uncertainty. New York: Springer. Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management science, 38(4), 555-593. Ma, C. y Wong, W. K. (2010). Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR. European Journal of Operational Research, 207(2), 927-935. Niu, C., Wong, W. K. y Zhu, L. (2016). First Stochastic Dominance and Risk Measurement. Ogryczak, W. y Ruszczyński, A. (1999). From stochastic dominance to mean-risk models: Semideviations as risk measures. European Journal of Operational Research, 116(1), 33-50. Roy, A. D. (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, 431-449. Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138. Sharpe, W. F. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49-58. Sortino, F., van der Meer, R. y Plantinga, A. (1999). The upside potential ratio. Journal of Performance Measurement, 4(1), 10-15. Whitmore, G. A. (1970). Third-degree stochastic dominance. The American Economic Review, 60(3), 457-459. |
| dc.rights.accessrights.spa.fl_str_mv |
info:eu-repo/semantics/openAccess |
| dc.rights.coar.spa.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| dc.rights.uri.spa.fl_str_mv |
https://creativecommons.org/licenses/by-nc-sa/4.0/ |
| eu_rights_str_mv |
openAccess |
| rights_invalid_str_mv |
http://purl.org/coar/access_right/c_abf2 https://creativecommons.org/licenses/by-nc-sa/4.0/ |
| dc.format.mimetype.spa.fl_str_mv |
application/pdf text/html |
| dc.publisher.spa.fl_str_mv |
Facultad de Finanzas, Gobierno y Relaciones Internacionales |
| dc.source.spa.fl_str_mv |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/5099 |
| institution |
Universidad Externado de Colombia |
| bitstream.url.fl_str_mv |
https://bdigital.uexternado.edu.co/bitstreams/bdfba10e-5be7-42e9-9a60-ae4aa1a1c6e0/download |
| bitstream.checksum.fl_str_mv |
3ea09b0a7e136d2f26557196b3b85379 |
| bitstream.checksumAlgorithm.fl_str_mv |
MD5 |
| repository.name.fl_str_mv |
Universidad Externado de Colombia |
| repository.mail.fl_str_mv |
metabiblioteca@metabiblioteca.org |
| _version_ |
1814100348095168512 |
| spelling |
Moreno Trujillo, John Freddyvirtual::498-12017-11-09 00:00:002022-09-08T13:40:24Z2017-11-09 00:00:002022-09-08T13:40:24Z2017-11-09Se presentan los conceptos básicos de la teoría de dominancia estocástica y la definición de medidas de desempeño por cociente de Farinelli y Tibiletti (FT). Se establece una relación de consistencia entre la selección de prospectos de inversión por dominancia estocástica y las medidas FT y se muestra una extensión de esta relación al caso de la medida de desempeño Omega.We present the basic concepts of stochastic dominance theory and the definition of measures of performance by quotient of Farinelli and Tibiletti (FT). A consistency relationship is established between the selection of investment prospects by stochastic dominance and the FT measures and an extension of this relation is shown to the case of the Omega performance measure.application/pdftext/html10.18601/17941113.n12.062346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7657https://doi.org/10.18601/17941113.n12.06spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5099/6155https://revistas.uexternado.edu.co/index.php/odeon/article/download/5099/6349Núm. 12 , Año 2017 : Enero-Junio15712147OdeonArtzner, P., Delbaen, F., Eber, J. M. y Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228.Farinelli, S. y Tibiletti, L. (2008). Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research, 185(3), 1542-1547.Farinelli, S., Rossello, D. y Tibiletti, L. (2006, May). Computational asset allocation using one-sided and two-sided variability measures. In International Conference on Computational Science (pp. 324-331). Springer, Berlin, Heidelberg.Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review, 67(2), 116-126.Fishburn, P. C. (1980). Stochastic dominance and moments of distributions. Mathematics of Operations Research, 5(1), 94-100.Fong, W. M. (2016). Stochastic dominance and the omega ratio. Finance Research Letters, 17, 7-9.Guo, X. y Wong, W. K. (2016). Multivariate stochastic dominance for risk averters and risk seekers. rairo-Operations Research, 50(3), 575-586.Keating, C. y Shadwick, W. F. (2002). A universal performance measure. Journal of performance measurement, 6(3), 59-84.Keating, C. y Shadwick, W. F. (2002). An introduction to omega. aima Newsletter.Leland, H. E. (1999). Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected). Financial Analysts Journal, 55(1), 27-36.Levy, H. (2015). Stochastic dominance: Investment decision making under uncertainty. New York: Springer.Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management science, 38(4), 555-593.Ma, C. y Wong, W. K. (2010). Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR. European Journal of Operational Research, 207(2), 927-935.Niu, C., Wong, W. K. y Zhu, L. (2016). First Stochastic Dominance and Risk Measurement.Ogryczak, W. y Ruszczyński, A. (1999). From stochastic dominance to mean-risk models: Semideviations as risk measures. European Journal of Operational Research, 116(1), 33-50.Roy, A. D. (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, 431-449.Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.Sharpe, W. F. (1994). The sharpe ratio. The Journal of Portfolio Management, 21(1), 49-58.Sortino, F., van der Meer, R. y Plantinga, A. (1999). The upside potential ratio. Journal of Performance Measurement, 4(1), 10-15.Whitmore, G. A. (1970). Third-degree stochastic dominance. The American Economic Review, 60(3), 457-459.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/5099Performance measuresstochastic dominancemedidas de desempeñodominancia estocásticaMedidas de desempeño por cocientes y dominancia estocástica de primer y segundo ordenPerformance measures by quotients and stochastic dominance of first and second orderArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationMoreno Trujillovirtual::498-1John Freddyvirtual::498-1https://scholar.google.es/citations?user=j7aRNrAAAAAJ&hl=esvirtual::498-10000-0002-2772-6931virtual::498-142bf6d50-5adc-4151-9517-43591b61e5f2virtual::498-142bf6d50-5adc-4151-9517-43591b61e5f2virtual::498-1OREORE.xmltext/xml2577https://bdigital.uexternado.edu.co/bitstreams/bdfba10e-5be7-42e9-9a60-ae4aa1a1c6e0/download3ea09b0a7e136d2f26557196b3b85379MD51001/7657oai:bdigital.uexternado.edu.co:001/76572022-10-10 11:46:37.473https://creativecommons.org/licenses/by-nc-sa/4.0/https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org |