A Review of Portfolio Choice Based on Stochastic Dominance
10 Pages Posted: 1 Mar 2017 Last revised: 3 Mar 2017
Date Written: March 3, 2017
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: Suggested Citation