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A State-of-the-Art Fund Performance Index: Higher-Order Omega and Its Consistency with Almost Stochastic Dominance
2022
Journal of Risk and Financial Management
This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the effectiveness of applying the higher-order Omega function in fund performance measurement, as the Almost Stochastic Dominance rules are more likely to be observed in real life. This study also clarifies
doi:10.3390/jrfm15100438
fatcat:rliesotxqnh2vljedoam3j6jz4