Stochastic dominance and optimal portfolio

Kais Dachraoui and Georges Dionne ()
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Kais Dachraoui: HEC Montreal, Canada Research Chair in Risk Management

No 01-1, Working Papers from HEC Montreal, Canada Research Chair in Risk Management

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: Stochastic dominance; first order stochastic dominance; second order stochastic dominance; relative risk aversion; financial portfolio; two-fund separation (search for similar items in EconPapers)
JEL-codes: D80 G11 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2001-01-03
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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:ris:crcrmw:2001_001

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