Stochastic Dominance and Optimal Portfolio

K. Dachraoui and Georges Dionne ()

Ecole des Hautes Etudes Commerciales de Montreal- from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques.

Abstract: We analyze the effect of generalized first and second order stochastic dominance changes in a returns distribution on optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an important role in explaining how the composition of the portfolios is affected. The results are interpreted in terms of two-fund separation.

Keywords: RISK; PORTFOLIO; MODELS (search for similar items in EconPapers)
JEL-codes: D80 G11 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2001
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Stochastic dominance and optimal portfolio (2001)
Working Paper: Stochastic Dominance and Optimal Portfolio (2001)
Working Paper: Stochastic dominance and optimal portfolio (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:etcori:01-01

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