Asset proportions, stochastic dominance and the 50% rule.
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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%.
|Research Areas:||A. > Business School > Accounting and Finance|
|Depositing User:||Matthew Lawson|
|Date Deposited:||08 Mar 2010 07:46|
|Last Modified:||13 Oct 2016 14:17|
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