Revisiting almost marginal conditional stochastic dominance

Tzu-Ying Chen, An-Mei Tsai and Larry Y. Tzeng

The Quarterly Review of Economics and Finance, 2022, vol. 85, issue C, 260-269

Abstract: In this paper, we propose a new notion of the almost marginal conditional stochastic dominance rule by confining the ratio of marginal utility to exclude decision makers with extreme preferences. We show that this new rule can be implemented by linear programming. Finally, we demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by US 10-year Treasuries, the Dow Jones US index, the Dow Jones US Islamic index and the Dow Jones Emerging Markets Islamic index.

Keywords: Marginal conditional stochastic dominance; Almost stochastic dominance; Efficient portfolios (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:85:y:2022:i:c:p:260-269

DOI: 10.1016/j.qref.2022.03.010

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