Improved Portfolio Choice Using Second Order Stochastic Dominance


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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2009. Improved Portfolio Choice Using Second Order Stochastic Dominance

@techreport{Hodder2009Impro-12285, title={Improved Portfolio Choice Using Second Order Stochastic Dominance}, year={2009}, author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:date rdf:datatype="">2011-03-25T09:44:02Z</dc:date> <dc:contributor>Hodder, James E.</dc:contributor> <dcterms:issued>2009</dcterms:issued> <dcterms:title>Improved Portfolio Choice Using Second Order Stochastic Dominance</dcterms:title> <dc:rights>deposit-license</dc:rights> <dc:language>eng</dc:language> <dc:format>application/pdf</dc:format> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dcterms:available rdf:datatype="">2011-03-25T09:44:02Z</dcterms:available> <dc:creator>Kolokolova, Olga</dc:creator> <bibo:uri rdf:resource=""/> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dcterms:rights rdf:resource=""/> <dcterms:abstract xml:lang="eng">This paper examines the use of second-order stochastic dominance as both a way to measure portfolio performance relative to a benchmark and also as a technique for constructing portfolios. Using in-sample data, we construct portfolios such that their dominance over a typical pension fund benchmark is maximized. The empirical results based on 20 years of daily data suggest that this portfolio choice technique significantly outperforms the benchmark portfolio out-of-sample. Moreover, its performance is superior to mean-variance and equally weighted portfolio choice approaches.</dcterms:abstract> <dc:contributor>Kolokolova, Olga</dc:contributor> <dc:creator>Hodder, James E.</dc:creator> </rdf:Description> </rdf:RDF>

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