Almost marginal conditional stochastic dominance

Michel M. Denuit, Rachel J. Huang, Larry Y. Tzeng, Christine W. Wang

研究成果: 雜誌貢獻期刊論文同行評審

11 引文 斯高帕斯(Scopus)

摘要

Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions under which most (and not all) risk-averse investors behave in this way. Instead of stochastic dominance rules, almost stochastic dominance is used to assess the superiority of one asset over another in a given portfolio. Switching from MCSD to Almost MCSD (AMCSD) helps to reconcile common practices in asset allocation and the decision rules supporting stochastic dominance relations. A financial application is further provided to demonstrate that using AMCSD can indeed improve investment efficiency.

原文???core.languages.en_GB???
頁(從 - 到)57-66
頁數10
期刊Journal of Banking and Finance
41
發行號1
DOIs
出版狀態已出版 - 4月 2014

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