IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v11y1976i05p743-777_02.html
   My bibliography  Save this article

Stochastic Dominance with Riskless Assets

Author

Listed:
  • Levy, Haim
  • Kroll, Yoram

Abstract

Investment decision making under conditions of uncertainty, and in particular portfolio selection, is carried out mainly in the Mean-Variance framework which has been developed by Markowitz [29], [30] and Tobin [42]. By assuming the lending and borrowing of money at a given riskless interest rate, Sharpe [39], [40], Lintner [27], [28], Mossin [34], and others derived and extended the Capital Asset Pricing Model, under which an equilibrium price of each risky asset is determined. However, though the mean variance rule is quite convenient to apply, its limitations are well known, i.e., one must assume either normal probability distributions with risk aversion or quadratic utility functions.

Suggested Citation

  • Levy, Haim & Kroll, Yoram, 1976. "Stochastic Dominance with Riskless Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 743-777, December.
    • Handle: RePEc:cup:jfinqa:v:11:y:1976:i:05:p:743-777_02
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000021153/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gloy, Brent A. & Baker, Timothy G., 1999. "Evaluating Risk Management Strategies Using Stochastic Dominance With A Risk Free Asset," 1999 Annual meeting, August 8-11, Nashville, TN 21673, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Ke, Mei-Chu & Chiang, Yi-Chein & Liao, Tung Liang, 2007. "Day-of-the-week effect in the Taiwan foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2847-2865, September.
    3. Edwin Fourrier-Nicolaï & Michel Lubrano, 2020. "Bayesian inference for TIP curves: an application to child poverty in Germany," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(1), pages 91-111, March.
    4. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.
    5. Kroll, Yoram & Marchioni, Andrea & Ben-Horin, Moshe, 2024. "Sortino(γ): a modified Sortino ratio with adjusted threshold," MPRA Paper 120203, University Library of Munich, Germany.
    6. Joseph Aharony & Sasson Bar†Yosef, 1987. "Tests of the impact of LIFO adoption on stockholders: A stochastic dominance approach," Contemporary Accounting Research, John Wiley & Sons, vol. 3(2), pages 430-444, March.
    7. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
    8. Chang, Hao-Wen & Chiang, Yi-Chein & Ke, Mei-Chu & Wang, Ming-Hui & Nguyen, Tien-Trung, 2023. "Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 312-329.
    9. Wang, Ming-Hui & Ke, Mei-Chu & Liang Liao, Tung & Chiang, Yi-Chein & Hsu, Chuan-Hao, 2020. "Alternative estimation method of earnings growth rate for PEGR strategy," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    10. Yi-Chein Chiang & Mei-Chu Ke & Tung Liang Liao & Cin-Dian Wang, 2012. "Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market," Applied Financial Economics, Taylor & Francis Journals, vol. 22(12), pages 955-965, June.
    11. Sprik, M. & Trappeniers, N.J., 1980. "The orientational relaxation of methane molecules in the solid phase II at low temperatures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 103(3), pages 411-454.
    12. Liqun Liu & Jack Meyer, 2021. "Stochastic superiority," Journal of Risk and Uncertainty, Springer, vol. 62(3), pages 225-246, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:11:y:1976:i:05:p:743-777_02. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.