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Characterizing Efficient Portfolios

Shlomo Yitzhaki

Hebrew University of Jerusalem; National Bureau of Economic Research (NBER)

Joram Mayshar

Hebrew University of Jerusalem - Department of Economics

December 2001

We provide here a necessary and sufficient operational condition for determining whether a given portfolio is efficient in the sense of second-degree stochastic Dominance (SSD). This condition also enables one to find a direction for improving on an inefficient portfolio, in the sense that all risk averse investors would weakly prefer that change in the portfolio composition. This condition can be applied among others to resolve questions that have long been posed in the literature, concerning on whether the portfolios that are promoted by portfolio managers are in fact efficient in the above sense.

Number of Pages in PDF File: 23

Keywords: Stochastic Dominance, Optimal Portfolio, Efficient Portfolio

JEL Classification: G11

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Date posted: January 28, 2002  

Suggested Citation

Yitzhaki, Shlomo and Mayshar, Joram, Characterizing Efficient Portfolios (December 2001). Available at SSRN: http://ssrn.com/abstract=297899 or http://dx.doi.org/10.2139/ssrn.297899

Contact Information

Shlomo Yitzhaki (Contact Author)
Hebrew University of Jerusalem ( email )
Mount Scopus
Jerusalem, 91905
+972 2 659 2201 (Phone)
+972 2 652 2319 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Joram Mayshar
Hebrew University of Jerusalem - Department of Economics ( email )
Mount Scopus
Jerusalem, 91905
+972 02-5883138 (Phone)
+972 02-5816071 (Fax)
Feedback to SSRN

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