Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
477135 | European Journal of Operational Research | 2010 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Martin Egozcue, Wing-Keung Wong,