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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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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4RDS42D-1/2/6da0bd763b9fb332dc763f13beb20973
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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. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Almost Stochastic Dominance and Moments," MPRA Paper 49205, University Library of Munich, Germany.
    2. Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Working Papers 2014-403, Department of Research, Ipag Business School.
    3. 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.
    4. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
    5. Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013. "A note on almost stochastic dominance," Economics Letters, Elsevier, vol. 121(2), pages 252-256.
    6. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
    7. 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.
    8. 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.

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