کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982302 1480468 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A demonstration of the non-necessity of marginal conditional stochastic dominance for portfolio inefficiency
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A demonstration of the non-necessity of marginal conditional stochastic dominance for portfolio inefficiency
چکیده انگلیسی
This paper demonstrates that a finding of marginal conditional stochastic dominance between two sub-portfolios of a portfolio, while sufficient for showing inefficiency of the portfolio and hence sub-optimality of the portfolio for all risk-averse investors, is not necessary. It is shown by an example that a portfolio can be inefficient even if, for all pairs of sub-portfolios, there is no marginal conditional stochastic dominance. In such a situation, a universally preferred portfolio can be constructed on the margin only by adjusting the shares of more than two sub-portfolios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 2, May 2009, Pages 417-423
نویسندگان
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