A note on portfolio selection and stochastic dominance

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• 作者：Mario Menegatti
• 关键词：Portfolio ; Stochastic dominance ; Third ; order stochastic dominance ; Nth ; order stochastic dominance
• 刊名：Decisions in Economics and Finance
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：39
• 期：2
• 页码：327-331
• 全文大小：376 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Econometrics
  Public Finance and Economics
  Finance and Banking
  Management
  Operation Research and Decision Theory
  
• 出版者：Springer Milan
• ISSN：1129-6569
• 卷排序：39

文摘

This note provides new and simpler conditions ensuring that, when one portfolio dominates another via stochastic dominance, a decision maker prefers the first one. The conditions are derived for the case of third-order stochastic dominance and for the general case of Nth-order stochastic dominance.