کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
477135 | 1446135 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Gains from diversification on convex combinations: A majorization and stochastic dominance approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combinations of assets that characterize a portfolio to give higher expected utility by second-order stochastic dominance. Our findings also provide an additional methodology for determining the second-order stochastic dominance efficient set.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 200, Issue 3, 1 February 2010, Pages 893–900
Journal: European Journal of Operational Research - Volume 200, Issue 3, 1 February 2010, Pages 893–900
نویسندگان
Martin Egozcue, Wing-Keung Wong,