Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?

Anissa Chaibi, Maria Ciupac-Ulici and Mircea-Cristian Gherman

No 2014-130, Working Papers from Department of Research, Ipag Business School

Abstract: In this study, we contribute to the literature of stochastic dominance by studying the effect of generalized first and second order stochastic dominance changes on returns distribution of financial time series. This paper contributes to the existing liter

Keywords: asset allocation; empirical distributions; stochastic dominance; utility function; risk aversion (search for similar items in EconPapers)
Pages: 12 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (16)

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