Multi-Period Stochastic Dominance

Haim Levy and Jacob Paroush
Additional contact information
Haim Levy: The Hebrew University of Jerusalem
Jacob Paroush: Bar-Ilan University, Ramat-Gan, Israel

Management Science, 1974, vol. 21, issue 4, 428-435

Abstract: First degree stochastic dominance rules for uncertain options (distributions of returns) have been developed for the following two cases: (a) multi-period additive utility functions, (b) univariate utility functions and compound distributions of returns. In the first case, the suggested rule is a necessary and sufficient criterion for efficiency analysis, while in the second case we provide only sufficiency conditions for dominance. For the univariate case an efficient set of portfolios can be constructed for investment groups that differ in their investment horizon. Where returns over time are independent, the longer the investment horizon the smaller the efficient set. However, the relationship between the size of the efficient set and the investment horizon is not simple when interdependence of returns is allowed.

Date: 1974
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.21.4.428 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:21:y:1974:i:4:p:428-435

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().