Improved Portfolio Choice Using Second-Order Stochastic Dominance


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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

@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:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dc:creator>Hodder, James E.</dc:creator> <dc:contributor>Hodder, James E.</dc:contributor> <dcterms:available rdf:datatype="">2015-09-25T09:50:27Z</dcterms:available> <dc:contributor>Kolokolova, Olga</dc:contributor> <dcterms:title>Improved Portfolio Choice Using Second-Order Stochastic Dominance</dcterms:title> <dc:language>eng</dc:language> <dc:date rdf:datatype="">2015-09-25T09:50:27Z</dc:date> <bibo:uri rdf:resource=""/> <dcterms:rights rdf:resource=""/> <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>

Dateiabrufe seit 25.09.2015 (Informationen über die Zugriffsstatistik)

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