Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case

Haim Levy

Chapter 18 in Handbook of the Fundamentals of Financial Decision Making:In 2 Parts, 2013, pp 299-307 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The theoretical and the empirical work in the theory of investment decision making under conditions of uncertainty (particularly in portfolio-selection theory) has been done so far under the very restricting assumption that all investors have a single target date for wealth accumulation, or investment horizon. They buy their portfolios on the same date with the object of maximizing their expected utility from terminal wealth. The papers of James Tobin and Jan Mossin who deal with the multi-period mean-variance criterion are the exception…

Keywords: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
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