Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480945 | European Journal of Operational Research | 2011 | 11 Pages |
Abstract
This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the SSD approach considers the entire probability distributions of asset returns, the resulting portfolios are efficient with respect to all risk-averse, utility-maximizing investors regardless of the form of their utility functions or the distributions of asset returns.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Ephraim Clark, Octave Jokung, Konstantinos Kassimatis,