Improved Portfolio Choice using Second-Order Stochastic Dominance


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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2010. Improved Portfolio Choice using Second-Order Stochastic Dominance

@techreport{Hodder2010Impro-29570, series={Working Paper Series / Department of Economics}, title={Improved Portfolio Choice using Second-Order Stochastic Dominance}, year={2010}, number={2010-14}, 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:language>eng</dc:language> <dcterms:issued>2010</dcterms:issued> <dc:creator>Kolokolova, Olga</dc:creator> <dc:creator>Hodder, James E.</dc:creator> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <bibo:uri rdf:resource=""/> <dc:date rdf:datatype="">2015-01-21T09:53:34Z</dc:date> <dc:contributor>Kolokolova, Olga</dc:contributor> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dcterms:abstract xml:lang="eng">We examine the use of second-order stochastic dominance as both a way to measure performance and also as a technique for constructing portfolios. Using in-sample data, we construct portfolios such that their second-order stochastic dominance over a typical pension fund benchmark is most probable. The empirical results based on 21 years of daily data suggest that this portfolio choice technique significantly outperforms the benchmark portfolio out-of-sample. As a preference-free technique it will also suit any risk-averse investor in e.g. a pension fund. Moreover, its out-of-sample performance across eight different measures is superior to widely discussed portfolio choice approaches such as equal weights, mean variance, and minimum-variance methods.</dcterms:abstract> <dcterms:rights rdf:resource=""/> <dcterms:available rdf:datatype="">2015-01-21T09:53:34Z</dcterms:available> <dcterms:title>Improved Portfolio Choice using Second-Order Stochastic Dominance</dcterms:title> <dc:contributor>Hodder, James E.</dc:contributor> </rdf:Description> </rdf:RDF>

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