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## Academic Press. (2013)

### Citations

2823 | Portfolio Selection - Markowitz - 1952 |

538 | Mutual fund performance - Sharpe - 1966 |

235 | Risks and Portfolio Decisions Involving Hedge Funds.” - Agarwal, Naik - 2004 |

99 | The efficiency analysis of choices involving risk. - Hanoch, Levy - 1969 |

88 | Performance hypothesis testing with the Sharpe and Treynor measures. - Jobson, Korkie - 1981 |

79 | Determinants of portfolio performance, - Brinson, Hood, et al. - 1986 |

42 | Performance hypothesis testing with the Sharpe Ratio, - Memmel - 2003 |

34 | Does the choice of performance measure influence the evaluation of hedge funds? - Eling, Schuhmacher - 2007 |

22 | Stochastic dominance and mean-variance measures of profit and loss for business planning and investment - Wong - 2007 |

21 | On testing the equality of the multiple Sharpe Ratios, with application on the evaluation of iShares - Leung, Wong - 2008 |

19 |
An Extended MultinomialDirichlet Model for Error Bounds for Dollar-Unit Sampling, Contemporary Accounting Research,
- Matsumura, Tsui, et al.
- 1990
(Show Context)
Citation Context ...ance andsthe effectiveness of investment techniques, approaches and models, for example,sfundamental analysis (Wong and Chan, 2004), technical analysis (Wong, et al., 2001,s2003), behavioral finance (=-=Matsumura, et al., 1990-=-), prospect theory (Broll, et al., 2010;sEgozcue, et al., 2011), and advanced econometrics (Wong and Miller, 1990; Bai, et al.s2010, 2011b) allowing investors to be better informed about asset perform... |

18 | Predictability in hedge fund returns - Amenc, Bied, et al. - 2003 |

16 |
Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio
- Gregoriou, Gueyie
- 2003
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Citation Context ...id,svarious measures for MR analysis have been developed to improve the SR, including thesSortino ratio (Sortino and van der Meer, 1991), the conditional SR (Agarwal and Naik,s2004), the modified SR (=-=Gregoriou and Gueyie, 2003-=-), Value-at-Risk (Ma and Wong,s2010), Expected Shortfall (Chen, 2008), mixed Sharpe ratio (Wong, et al., 2012) ands26sothers. However, most of the empirical studies, see, for example, Eling and Schuhm... |

15 | Stochastic Dominance Analysis of iShares
- Gasbarro, Zumwalt
- 2007
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Citation Context ...e to pay may be increased risk andslower robustness.s25sThere are two basic approaches to the problem of portfolio selection under uncertainty.sOne approach is based on the concept of utility theory (=-=Gasbarro, et al., 2007-=-, 2012;sWong et al., 2006, 2008). Several stochastic dominance (SD) test statistics have beensdeveloped, see, for example, Bai, et al. (2011a) and the references therein for moresinformation. This app... |

15 | Robust Bayesian Inference in Asset Pricing Estimation - Wong, Bian - 2000 |

13 | Nonparametric estimation of expected shortfall.
- Chen
- 2007
(Show Context)
Citation Context ...g thesSortino ratio (Sortino and van der Meer, 1991), the conditional SR (Agarwal and Naik,s2004), the modified SR (Gregoriou and Gueyie, 2003), Value-at-Risk (Ma and Wong,s2010), Expected Shortfall (=-=Chen, 2008-=-), mixed Sharpe ratio (Wong, et al., 2012) ands26sothers. However, most of the empirical studies, see, for example, Eling and Schuhmachers(2007), find that the conclusions drawn by using these ratios ... |

13 | How rewarding is Technical analysis? Evidence from Singapore stock market, - Wong, Manzur, et al. - 2003 |

12 |
Analysis of ARIMA-Noise models with repeated time series
- Wong, Miller
- 1990
(Show Context)
Citation Context ... and Chan, 2004), technical analysis (Wong, et al., 2001,s2003), behavioral finance (Matsumura, et al., 1990), prospect theory (Broll, et al., 2010;sEgozcue, et al., 2011), and advanced econometrics (=-=Wong and Miller, 1990-=-; Bai, et al.s2010, 2011b) allowing investors to be better informed about asset performance andsinvestment management approaches.s28sFigure 1: S&P 500 index (January 2005 to December 2012)sIn de x 80 ... |

11 | Extension of Stochastic Dominance Theory to Random Variables, - Li, Wong - 1999 |

11 |
Can P/E Ratio and Bond Yield be used to beat Stock Markets? Multinational Finance
- Wong, Chew, et al.
- 2001
(Show Context)
Citation Context ...an be used to evaluate financial assets performance andsthe effectiveness of investment techniques, approaches and models, for example,sfundamental analysis (Wong and Chan, 2004), technical analysis (=-=Wong, et al., 2001-=-,s2003), behavioral finance (Matsumura, et al., 1990), prospect theory (Broll, et al., 2010;sEgozcue, et al., 2011), and advanced econometrics (Wong and Miller, 1990; Bai, et al.s2010, 2011b) allowing... |

8 | Do investors like to diversify? A study of Markowitz preferences. - Egozcue, García, et al. - 2011 |

7 | Stochastic dominance and risk measure: A decisiontheoretic foundation for VaR and C-VaR. Working Paper - Ma, Wong - 2006 |

7 | Preferences over location-scale family - Wong, Ma - 2008 |

7 | Stochastic Dominance Analysis of Asian Hedge Funds - Wong, Phoon, et al. - 2008 |

6 | Multivariate linear and nonlinear causality tests. - Bai, Wong, et al. - 2010 |

5 | Gains from Diversification on Convex Combinations: a Majorization and Stochastic Dominance Approach - Egozcue, Wong - 2010 |

4 | Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications - Bai, Li, et al. - 2011 |

4 | Moments analysis in risk and performance measurement - Lee, Wong - 2006 |

3 | Multivariate causality tests with simulation and application - Bai - 2011 |

3 | Mean-variance Ratio Test, a Complement to Coefficient of Variation Test and Sharpe Ratio Test - Bai, Wang, et al. - 2011 |

3 | On the Estimation of Cost of Capital and its Reliability
- Wong, Chan
(Show Context)
Citation Context ...portfolios.sLastly, we note the MVR test can be used to evaluate financial assets performance andsthe effectiveness of investment techniques, approaches and models, for example,sfundamental analysis (=-=Wong and Chan, 2004-=-), technical analysis (Wong, et al., 2001,s2003), behavioral finance (Matsumura, et al., 1990), prospect theory (Broll, et al., 2010;sEgozcue, et al., 2011), and advanced econometrics (Wong and Miller... |

2 | Evaluating Prospect Performance: making a Case for a Non-asymptotic UMPU test - Bai, Hui, et al. - 2012 |

2 | Stochastic Dominance and Behavior towards Risk: The Market for iShares - Gasbarro, Wong, et al. - 2012 |

2 | Do Winners perform Better than Losers? A Stochastic Dominance Approach. Advances in Quantitative Analysis of Finance and
- Wong, Thompson, et al.
- 2006
(Show Context)
Citation Context ... andslower robustness.s25sThere are two basic approaches to the problem of portfolio selection under uncertainty.sOne approach is based on the concept of utility theory (Gasbarro, et al., 2007, 2012;s=-=Wong et al., 2006-=-, 2008). Several stochastic dominance (SD) test statistics have beensdeveloped, see, for example, Bai, et al. (2011a) and the references therein for moresinformation. This approach offers a mathematic... |

1 | Mean-Variance Approximation to the Geometric Mean - Markowitz - 2012 |

1 | Core-Satellite Portfolio Management - Singleton - 2002 |