Improved Portfolio Choice Using Second-Order Stochastic Dominance
| Type of Publication: | Journal article |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-296017 |
| Author: | Hodder, James E.; Jackwerth, Jens Carsten; Kolokolova, Olga |
| Year of publication: | 2015 |
| Published in: | Review of Finance ; 19 (2015), 4. - pp. 1623-1647. - ISSN 1382-6662. - eISSN 1573-692X |
| DOI (citable link): | https://dx.doi.org/10.1093/rof/rfu025 |
| Summary: |
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.
|
| Subject (DDC): | 330 Economics |
| Link to License: | Terms of use |
| Bibliography of Konstanz: | Yes |
| xmlui.ArtifactBrowser.ItemViewer.detail.textAllianzLicense | |
Cite This
Files in this item
![[PDF]](/themes/Kops/images/mimes/pdf.png "PDF file"){kind=small}
HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2015. Improved Portfolio Choice Using Second-Order Stochastic Dominance. In: Review of Finance. 19(4), pp. 1623-1647. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfu025
@article{Hodder2015Impro-31833, title={Improved Portfolio Choice Using Second-Order Stochastic Dominance}, year={2015}, doi={10.1093/rof/rfu025}, number={4}, volume={19}, issn={1382-6662}, journal={Review of Finance}, pages={1623--1647}, author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga} }
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/31833"> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dc:creator>Hodder, James E.</dc:creator> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/31833/3/Hodder_0-296017.pdf"/> <dc:contributor>Hodder, James E.</dc:contributor> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-09-25T09:50:27Z</dcterms:available> <dcterms:rights rdf:resource="https://kops.uni-konstanz.de/page/termsofuse"/> <dc:contributor>Kolokolova, Olga</dc:contributor> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dcterms:title>Improved Portfolio Choice Using Second-Order Stochastic Dominance</dcterms:title> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/31833/3/Hodder_0-296017.pdf"/> <dc:language>eng</dc:language> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-09-25T09:50:27Z</dc:date> <dc:rights>terms-of-use</dc:rights> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/31833"/> <dc:creator>Kolokolova, Olga</dc:creator> <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 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.</dcterms:abstract> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dcterms:issued>2015</dcterms:issued> </rdf:Description> </rdf:RDF>
Downloads since Sep 25, 2015 (Information about access statistics)
| Hodder_0-296017.pdf | 139 |
This item appears in the following Collection(s)
Search KOPS
Browse
My Account
