Asset proportions, stochastic dominance and the 50% rule.

Clark, Ephraim A. and Jokung, Octave (1999) Asset proportions, stochastic dominance and the 50% rule. Management Science, 45 (12). pp. 1724-1737. ISSN 0025-1909

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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%.

Item Type:Article
Research Areas:Middlesex University Schools and Centres > Business School > Accounting and Finance
Citations on ISI Web of Science:3
ID Code:4398
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Deposited On:08 Mar 2010 07:46
Last Modified:02 Jul 2014 11:27

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