Abstract

http://ssrn.com/abstract=297899
 
 

References (15)



 
 

Citations (3)



 


 



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


Abstract:     
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

working papers series


Download This Paper

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
Israel
+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
Israel
+972 02-5883138 (Phone)
+972 02-5816071 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,285
Downloads: 305
Download Rank: 55,799
References:  15
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.328 seconds