A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule

Ephraim Clark and Octave Jokung
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Octave Jokung: EDHEC Graduate School of Management, Catholic University, Lille, France

Management Science, 1999, vol. 45, issue 12, 1724-1727

Abstract: In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann-Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.

Keywords: stochastic dominance; conditional density function; optimal proportion; risk aversion; demand problem (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:45:y:1999:i:12:p:1724-1727

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