Improved Portfolio Choice Using Second Order Stochastic Dominance

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2009
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Hodder, James E.
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urn:nbn:de:bsz:352-opus-85713
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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
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Portfolio Choice,Stochastic Dominance
Conference
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ISO 690HODDER, James E., Jens Carsten JACKWERTH, Olga KOLOKOLOVA, 2009. Improved Portfolio Choice Using Second Order Stochastic Dominance
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@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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