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Almost marginal conditional stochastic dominance
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DOI：10.1016/j.jbankfin.2013.12.014.png)
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摘要
En 中文
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. (C) 2013 Elsevier B.V. All rights reserved.
Keyword:
Marginal conditional stochastic dominance
Almost stochastic dominance
Asset allocation
Optimal investment
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3.8
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被引数:
2.4W
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