Note--A Note on First-Degree Stochastic Dominance and Portfolio Composition

William F. Rentz and Richard B. Westin
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William F. Rentz: University of Ottawa
Richard B. Westin: Scarborough College, University of Toronto

Management Science, 1975, vol. 22, issue 4, 501-504

Abstract: Suppose an investor is faced with two assets with stochastic rates of return such that in an either-or choice situation the investor can express a preference over the marginal probability distributions of the rates of returns of the assets. If the investor is able to form a portfolio containing both assets, does the fact that he can express a preference over the marginal distributions of the rates of return of the assets allow us to state qualitative restrictions on the composition of his optimal portfolio?

Date: 1975
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