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
Link To Document :
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