Type of Publication: | Working Paper/Technical Report |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-270131 |
Author: | Hodder, James E.; Jackwerth, Jens Carsten; Kolokolova, Olga |
Year of publication: | 2010 |
Series: | Working Paper Series / Department of Economics ; 2010-14 |
Summary: |
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.
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Subject (DDC): | 330 Economics |
Link to License: | In Copyright |
Bibliography of Konstanz: | Yes |
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} }
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