Title of article :
Stochastic dominance and optimal portfolio
Author/Authors :
Kaïs Dachraoui، نويسنده , , Georges Dionne، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
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
Journal title :
Economics Letters