This note provides new and simpler conditions ensuring that, when one portfolio dominates another via stochastic dominance, a decision maker prefers the first one. The conditions are derived for the case of third-order stochastic dominance and for the general case of Nth-order stochastic dominance.
A note on portfolio selection and stochastic dominance / Menegatti, Mario. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 39:2(2016), pp. 327-331. [10.1007/s10203-016-0179-z]
A note on portfolio selection and stochastic dominance
MENEGATTI, Mario
2016-01-01
Abstract
This note provides new and simpler conditions ensuring that, when one portfolio dominates another via stochastic dominance, a decision maker prefers the first one. The conditions are derived for the case of third-order stochastic dominance and for the general case of Nth-order stochastic dominance.File in questo prodotto:
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