A Review of Portfolio Choice Based on Stochastic Dominance

10 Pages Posted: 1 Mar 2017 Last revised: 3 Mar 2017

See all articles by Thierry Post

Thierry Post

Graduate School of Business of Nazarbayev University

Date Written: March 3, 2017

Abstract

Theoretical concepts together with estimation and optimization methods for portfolio choice based on Stochastic Dominance are reviewed. Distinction is drawn between the concepts of Pairwise Dominance, Admissibility, Optimality, Efficiency and Spanning. Results of selected empirical studies and practical applications are discussed.

Keywords: Decision Making Under Uncertainty, Stochastic Dominance, Portfolio Choice

JEL Classification: C61, D81, G11

Suggested Citation

Post, Thierry, A Review of Portfolio Choice Based on Stochastic Dominance (March 3, 2017). Available at SSRN: https://ssrn.com/abstract=2925222 or http://dx.doi.org/10.2139/ssrn.2925222

Thierry Post (Contact Author)

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

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