Article citationsMore>>
J. Owen and R. Rabinovitch, “On the Class of Elliptical Distributions and their Applications to Portfolio Choice,” Journal of Finance, Vol. 38, No. 3, 1983, pp. 745-752.
doi:10.1111/j.1540-6261.1983.tb02499.x
has been cited by the following article:
-
TITLE:
Almost Stochastic Dominance and Efficient Investment Sets
AUTHORS:
Moshe Levy
KEYWORDS:
Stochastic Dominance; Efficient Investment Set; Investment Choice
JOURNAL NAME:
American Journal of Operations Research,
Vol.2 No.3,
September
19,
2012
ABSTRACT: A major drawback of Mean-Variance and Stochastic Dominance investment criteria is that they may fail to determine dominance even in situations when all “reasonable” decision-makers would clearly prefer one alternative over another. Leshno and Levy [1] suggest Almost Stochastic Dominance (ASD) as a remedy. This paper develops algorithms for deriving the ASD efficient sets. Empirical application reveals that the improvement to the efficient sets implied by ASD is substantial (64% reduction for FSD). Direct expected utility maximization shows that investment portfolios excluded from the ASD efficient set would not have been chosen by any investors with reasonable preferences.