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Improved Portfolio Choice Using Second Order Stochastic Dominance
Improved Portfolio Choice Using Second Order Stochastic Dominance
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2009
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Working Paper/Technical Report
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Abstract
This paper examines the use of second-order stochastic dominance as both a way to measure portfolio performance relative to a benchmark and also as a technique for constructing portfolios. Using in-sample data, we construct portfolios such that their dominance over a typical pension fund benchmark is maximized. The empirical results based on 20 years of daily data suggest that this portfolio choice technique significantly outperforms the benchmark portfolio out-of-sample. Moreover, its performance is superior to mean-variance and equally weighted portfolio choice approaches.
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330 Economics
Keywords
Portfolio Choice,Stochastic Dominance
Conference
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HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2009. Improved Portfolio Choice Using Second Order Stochastic DominanceBibTex
@techreport{Hodder2009Impro-12285, year={2009}, title={Improved Portfolio Choice Using Second Order Stochastic Dominance}, author={Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga} }
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