Stochastic Dominance and Optimal Portfolio.

We analyze the effect of generalized first and second order stochastic dominance changes in a returns distribution on optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an important role in explaining how the composition of the portfolios is affected. The results are interpreted in terms of two-fund separation.

MoreLess

Year of publication:	2001
Authors:	Dachraoui, K. ; Dionne, G.
Institutions:	HEC Montréal (École des Hautes Études Commerciales)
Subject:	RISK \| PORTFOLIO \| MODELS

More details

Series:	Ecole des Hautes Etudes Commerciales de Montreal-.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	D80 - Information and Uncertainty. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618710