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dc.contributor.authorFoster, F Douglasen_NZ
dc.contributor.authorStutzer, Michaelen_NZ
dc.date.available2011-04-07T03:19:04Z
dc.date.copyright2003-07-21en_NZ
dc.identifier.citationFoster, F. D., & Stutzer, M. (2003, July 21). Performance and risk aversion of funds with benchmarks: A large deviations approach. University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Finance department, Seminar.en
dc.identifier.urihttp://hdl.handle.net/10523/1537
dc.description.abstractMutual fund performance is often measured relative to a designated benchmark portfolio. This paper provides a simple method of ranking portfolios' probabilities of outperforming a benchmark portfolio. Ranking fund performance in this way is identical to ranking each fund's portfolio with an expected generalized power utility index, that uses a fund and benchmark-specific risk aversion parameter implied by the fund's portfolio choice. When the difference between funds' log returns and those of the benchmark are from different Gaussian processes, we derive different modifications of the selection Sharpe ratio (1994) associated with Roll's (1992) Tracking Error Variance (TEV)-e±ciency notion. We develop feasible nonparametric and parametric estimators of a fund's performance index value, and the implied degree of risk aversion of the equivalent expected generalized power utility. We apply these estimators to rank the small fraction of mutual funds that (from the results of an hypothesis test) could outperform the S&P 500 index in the long run, and to estimate the implied degrees of risk aversion of their managers. Our procedure produces more plausible and precise estimates of managerial risk aversion than other recent estimates.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_03.htmlen_NZ
dc.subjectMutual fund performanceen_NZ
dc.subjectbenchmark portfolioen_NZ
dc.subjectfund's performance index valueen_NZ
dc.subjectS&P 500 indexen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titlePerformance and risk aversion of funds with benchmarks: A large deviations approachen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages39en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints603en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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otago.event.dates21 July 2003en_NZ
otago.event.placeCommerce 207, University of Otago, Dunedin, Otagoen_NZ
otago.event.typeotheren_NZ
otago.event.titleUniversity of Otago, Finance department, Seminaren_NZ
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