Improved Portfolio Choice Using Second Order Stochatic Dominance


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JACKWERTH, Jens, James E. HODDER, Olga KOLOKOLOVA, 2013. Improved Portfolio Choice Using Second Order Stochatic Dominance

@techreport{Jackwerth2013Impro-26829, title={Improved Portfolio Choice Using Second Order Stochatic Dominance}, year={2013}, author={Jackwerth, Jens and Hodder, James E. and Kolokolova, Olga}, note={Fassung vom 19.9.2013, Fassung vom 11.6.2009 unter} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:available rdf:datatype="">2014-03-15T14:31:43Z</dcterms:available> <bibo:uri rdf:resource=""/> <dc:contributor>Kolokolova, Olga</dc:contributor> <dc:language>eng</dc:language> <dcterms:abstract xml:lang="eng">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 a particular choice based on Kuosmanen (2004) and compare its performance to other SSD-related strategies and to standard portfolio choice approaches. The SSD-related choices (including the Kuosmanen approach) outperform portfolios based on the Sharpe ratio, equal weights, and the information ratio. Portfolios based on minimum variance that also match the benchmark’s mean return perform on a par with the SSD-related choices.</dcterms:abstract> <dcterms:rights rdf:resource=""/> <dc:creator>Hodder, James E.</dc:creator> <dc:contributor>Hodder, James E.</dc:contributor> <dc:creator>Jackwerth, Jens</dc:creator> <dc:date rdf:datatype="">2014-03-15T14:31:43Z</dc:date> <dcterms:issued>2013</dcterms:issued> <dc:contributor>Jackwerth, Jens</dc:contributor> <dc:rights>deposit-license</dc:rights> <dc:creator>Kolokolova, Olga</dc:creator> <dcterms:title>Improved Portfolio Choice Using Second Order Stochatic Dominance</dcterms:title> </rdf:Description> </rdf:RDF>

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