Making inefficient market indices efficient.
Full text is not in this repository.
Official URL: http://dx.doi.org/10.1016/j.ejor.2010.09.013
This item is available in the Library Catalogue
This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the SSD approach considers the entire probability distributions of asset returns, the resulting portfolios are efficient with respect to all risk-averse, utility-maximizing investors regardless of the form of their utility functions or the distributions of asset returns.
|Research Areas:||A. Middlesex University Schools and Centres > Business School > Accounting and Finance|
|Citations on ISI Web of Science:||2|
|Deposited On:||04 Feb 2011 06:08|
|Last Modified:||10 Dec 2014 20:29|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year