Publikation:

Improved Portfolio Choice Using Second-Order Stochastic Dominance

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Hodder_0-296017.pdf
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2015

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Hodder, James E.

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http://nbn-resolving.de/urn:nbn:de:bsz:352-0-296017
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https://doi.org/10.1093/rof/rfu025
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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.

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ISO 690HODDER, James E., Jens 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 and Kolokolova, Olga}
}
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