Improved Portfolio Choice Using Second-Order Stochastic Dominance

Publikationstyp: Zeitschriftenartikel
URI (zitierfähiger Link): http://nbn-resolving.de/urn:nbn:de:bsz:352-0-296017
Autor/innen: Hodder, James E.; Jackwerth, Jens Carsten; Kolokolova, Olga
Erscheinungsjahr: 2015
Erschienen in: Review of Finance ; 19 (2015), 4. - S. 1623-1647. - ISSN 1382-6662. - eISSN 1573-692X
DOI (zitierfähiger Link): https://dx.doi.org/10.1093/rof/rfu025
Zusammenfassung:
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.
Fachgebiet (DDC): 330 Wirtschaft
Link zur Lizenz: Nutzungsbedingungen
Universitätsbibliographie: Ja
Dieser Beitrag ist im Zusammenhang des Rechteinhabers aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.

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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. Available under: doi: 10.1093/rof/rfu025

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