A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule

In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann-Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.

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Year of publication:	1999
Authors:	Clark, Ephraim ; Jokung, Octave
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 45.1999, 12, p. 1724-1727
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	stochastic dominance \| conditional density function \| optimal proportion \| risk aversion \| demand problem

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.45.12.1724 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009203921