Robust evaluation of Baltic pension funds using network stochastic dominance ratio
提出了网络随机占优比率，检验其在不同分布假设和压力测试下的稳健性，并用于评估波罗的海三国第二支柱养老金基金的投资表现。
In this paper we introduce Network Stochastic Dominance (NetSD) ratio and we analyse its robustness and sensitivity to various types of changes. The ratio is used to rank investments according to three stochastic dominance principles. Moreover, this ratio is calculated including different distributional assumptions: empirical, α-stable, Student’s t, hyperbolic and Normal Inverse Gaussian. Robustness of NetSD R is verified in respect to the following aspects: inclusion of new distributional assumption, inclusion of new assets, stress testing of efficient assets by shifting the location parameters of their distributions and sliding the time window. Results show that inclusion of new distribution and new assets slightly changes ratio of some financial instruments. The shift of location parameter of all distributions for efficient funds dramatically changes the landscape. Using this methodology, the Baltic States second pillar pension funds are evaluated.