Title of article
Stochastic dominance and optimal portfolio
Author/Authors
Kaïs Dachraoui، نويسنده , , Georges Dionne، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
8
From page
347
To page
354
Abstract
We analyze the effect of generalized first and second order stochastic dominance changes in a returns distribution on optimal financial portfolios. We show that constant relative risk aversion plays an important role in explaining how the composition of the portfolios are affected. The results are interpreted in terms of two-fund separation.
Keywords
Financial portfolio , Two-fund separation , Constant relative risk aversion , Stochastic dominance
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
434793
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