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Almost Stochastic Dominance and stocks for the long run

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  • Levy, Moshe
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    Abstract

    The geometric-mean argument and the recently developed Almost Stochastic Dominance criterion have been employed to make the case for "stocks for the long run". We show that Almost Stochastic Dominance and the geometric-mean argument do not necessarily support long-run investment in equities. In fact, for standard preferences bonds may be preferred to stocks for the long run while stocks are preferred for shorter horizons.

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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 194 (2009)
    Issue (Month): 1 (April)
    Pages: 250-257

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    Handle: RePEc:eee:ejores:v:194:y:2009:i:1:p:250-257

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    Web page: http://www.elsevier.com/locate/eor

    Related research

    Keywords: Stochastic Dominance Investment horizon Asset allocation;

    References

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    Cited by:
    1. Xu, Guo & Wing-Keung, Wong & Lixing, Zhu, 2013. "Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 51744, University Library of Munich, Germany.
    2. Simon Dietz & Anca N. Matei, 2013. "Spaces for agreement: a theory of Time-Stochastic Dominance," Grantham Research Institute on Climate Change and the Environment Working Papers 137, Grantham Research Institute on Climate Change and the Environment.
    3. Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013. "A Note on Almost Stochastic Dominance," MPRA Paper 44365, University Library of Munich, Germany.
    4. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
    5. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
    6. Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Discussion Paper Series DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
    7. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Almost Stochastic Dominance and Moments," MPRA Paper 49205, University Library of Munich, Germany.
    8. Dupačová, Jitka & Kopa, Miloš, 2014. "Robustness of optimal portfolios under risk and stochastic dominance constraints," European Journal of Operational Research, Elsevier, vol. 234(2), pages 434-441.

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