Improved Portfolio Choice Using Second-Order Stochastic Dominance

Hodder, James E.; Jackwerth, Jens Carsten; Kolokolova, Olga

Improved Portfolio Choice Using Second-Order Stochastic Dominance

Dateien

Hodder_0-296017.pdfGröße: 262.77 KBDownloads: 551

Datum

2015

Autor:innen

Hodder, James E.

Jackwerth, Jens Carsten

Kolokolova, Olga

Publikationstyp

Zeitschriftenartikel

unikn.publication.listelement.citation.prefix.version.undefined

Review of Finance. 2015, 19(4), pp. 1623-1647. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfu025

Zusammenfassung

Constructing portfolios based on second-order stochastic dominance (SSD) is theoretically attractive since all risk-averse investors would prefer a dominating portfolio. However, choosing among SSD efficient portfolios is a challenge without an obvious ranking metric. We explore particular choices based on Kuosmanen (2004) plus Kopa and Post (2011), comparing their performance to other SSD-related strategies and to standard portfolio choice approaches. These SSD-related choices outperform portfolios chosen based on their Sharpe ratio, information ratio, or using equal weights. Portfolios based on minimum variance that also match the benchmark’s mean return perform on a par with the SSD-related choices.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2015. Improved Portfolio Choice Using Second-Order Stochastic Dominance. In: Review of Finance. 2015, 19(4), pp. 1623-1647. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfu025

BibTex

@article{Hodder2015Impro-31833,
  year={2015},
  doi={10.1093/rof/rfu025},
  title={Improved Portfolio Choice Using Second-Order Stochastic Dominance},
  number={4},
  volume={19},
  issn={1382-6662},
  journal={Review of Finance},
  pages={1623--1647},
  author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga}
}

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