A note on portfolio selection and stochastic dominance

Mario Menegatti

Decisions in Economics and Finance, 2016, vol. 39, issue 2, No 9, 327-331

Abstract: Abstract This note provides new and simpler conditions ensuring that, when one portfolio dominates another via stochastic dominance, a decision maker prefers the first one. The conditions are derived for the case of third-order stochastic dominance and for the general case of Nth-order stochastic dominance.

Keywords: Portfolio; Stochastic dominance; Third-order stochastic dominance; Nth-order stochastic dominance (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10203-016-0179-z

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