|
|
|
|
||||
|
||||
Characterizing Efficient PortfoliosShlomo YitzhakiHebrew University of Jerusalem; National Bureau of Economic Research (NBER) Joram MaysharHebrew 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 seriesDate posted: January 28, 2002Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.390 seconds
