Stochastic Dominance and Optimal Portfolio
AbstractWe 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.
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Bibliographic InfoPaper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2001-01.
Date of creation: 2001
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Other versions of this item:
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-22 (All new papers)
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