Sharif Digital Repository

As we know the return of some financial assets has a different distribution from the normal. Given that in the traditional methods of evaluating the mutual funds’ performance such as mean-variance (MV) and models based-on capital assets pricing model (CAPM), returns of financial assets distributions have been assumed normal, using mentioned methods is invalid. In this study, we have used some traditional methods such as the Sharpe benchmark, treanor benchmark and Jensen’s alpha and have pointed out some problems in using them as an instance case. Stochastic dominance criteria which do not require the assumption of normal distribution of return and also have less restrictive assumptions were...