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V. S. Bawa, J. Bondurtha, M. R. Rao and H. L. Suri, “On Determination of the Stochastic Dominance Optimal Set,” Journal of Finance, Vol. 40, No. 2, 1985, pp. 417-431.
doi:10.1111/j.1540-6261.1985.tb04965.x
has been cited by the following article:
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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.
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